Score Tests for Hyperbolic GARCH Models

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	Score Tests for Hyperbolic GARCH Models
	Li, Muyi ; Li, Guodong ; Li, Wai Keung ; Li MY(李木易)
刊名	http://dx.doi.org/10.1198/jbes.2011.10024
	2011-10
关键词	AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTICITY MAXIMUM-LIKELIHOOD-ESTIMATION TIME-SERIES MODELS MOVING-AVERAGE ARCH(INFINITY) MODELS ARMA MODELS LONG MEMORY HETEROSCEDASTICITY STATIONARITY VOLATILITY
英文摘要	Hong Kong Research Grants Council [HKU 702908P]; Davidson (2004) recently proposed the hyperbolic GARCH model to capture the phenomenon of longrange dependence in volatility, with the extent of such dependence measured by the geometric or hyperbolic decay of the coefficients in an ARCH(infinity) model. In this article, we reinterpret the hyperbolic GARCH model by building a link with the common GARCH model, and construct a simplified score test to check the presence of the hyperbolic decay. We derive the asymptotic of the test statistic under the null hypothesis and the local alternatives. We conductMonte Carlo simulation experiments to study the performance of this test, and report an illustration on two log return sequences. This article has supplementary material online.
语种	英语
出版者	J BUS ECON STAT
内容类型	期刊论文
源URL	[http://dspace.xmu.edu.cn/handle/2288/90108]
专题	经济学院－已发表论文
推荐引用方式 GB/T 7714	Li, Muyi,Li, Guodong,Li, Wai Keung,et al. Score Tests for Hyperbolic GARCH Models[J]. http://dx.doi.org/10.1198/jbes.2011.10024,2011.
APA	Li, Muyi,Li, Guodong,Li, Wai Keung,&李木易.(2011).Score Tests for Hyperbolic GARCH Models.http://dx.doi.org/10.1198/jbes.2011.10024.
MLA	Li, Muyi,et al."Score Tests for Hyperbolic GARCH Models".http://dx.doi.org/10.1198/jbes.2011.10024 (2011).