Title: Goodness-of-fit tests for log and exponential GARCH models
Authors: Christian Francq - CREST and University Lille III (France) [presenting]
Jean-Michel Zakoian - CREST (France)
Olivier Wintenberger - University Paris-Dauphine (France)
Abstract: Goodness-of-fit tests and specification tests are studied for an extension of the log-GARCH model which is both asymmetric and stable by scaling. A Lagrange-Multiplier test is derived for testing the extended log-GARCH against more general formulations including the Exponential GARCH (EGARCH). The null assumption of an EGARCH is also tested. Portmanteau goodness-of-fit tests are developed for the extended log-GARCH. An application to real financial data is proposed.