Journal
JOURNAL OF ECONOMETRICS
Volume 141, Issue 2, Pages 835-875Publisher
ELSEVIER SCIENCE SA
DOI: 10.1016/j.jeconom.2006.11.005
Keywords
GARCH models; model specification; bootstrap tests
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A goodness-of-fit test in the class of conditional heteroscedastic time series models is examined. Due to the nonstandard limiting distribution of the test, we propose to bootstrap the test, showing its asymptotic validity. Moreover, we illustrate the finite sample performance of the test by a small Monte Carlo study. (c) 2006 Elsevier B.V. All rights reserved.
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