On Diagnostic Checking of Vector ARMA-GARCH Models with Gaussian and Student-t Innovations

On Diagnostic Checking of Vector ARMA-GARCH Models with Gaussian and Student-t Innovations

This paper focuses on the diagnostic checking of vector ARMA (VARMA) models with multivariate GARCH errors. For a fitted VARMA-GARCH model with Gaussian or Student-t innovations, we derive the asymptotic distributions of autocorrelation matrices of the cross-product vector of standardized residuals....

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Bibliographic Details
Main Authors: Yongning Wang, Ruey S. Tsay
Format: Article
Language:English
Published: MDPI AG 2013-04-01
Series:Econometrics
Subjects:
Vector autoregressive moving-average process
multivariate GARCH model
asymptotic distribution
portmanteau statistic
model checking
heavy tail
multivariate time series
bootstrap
Online Access:http://www.mdpi.com/2225-1146/1/1/1

Internet

http://www.mdpi.com/2225-1146/1/1/1

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