Portmanteau goodness-of-fit test for asymmetric power GARCH models

Abstract

The asymptotic distribution of a vector of autocorrelations of squared residuals is derived for a wide class of asymmetric GARCH models. Portmanteau adequacy tests are deduced. %gathered These results are obtained under moment assumptions on the iid process, but fat tails are allowed for the observed process, which is particularly relevant for series of financial returns. A Monte Carlo experiment and an illustration to financial series are also presented.ARCH models; Leverage effect; Portmanteau test; Goodness-of-fit test; Diagnostic checking