Improved two-component tests in Beta-Skew-t-EGARCH models
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Data
2017Tipo
Assunto
Abstract
This work proposes a likelihood ratio test to assist in the selection of the Beta-Skew-t-EGARCH model with one or two volatility components. To improve the performance of the proposed test in small samples, the bootstrap-based likelihood ratio test and the bootstrap Bartlett correction are considered. The finite sample performance of the tests are assessed using Monte Carlo simulations. The numerical evidence favors the bootstrap-based test. The tests are applied to the DAX log-returns. The res ...
This work proposes a likelihood ratio test to assist in the selection of the Beta-Skew-t-EGARCH model with one or two volatility components. To improve the performance of the proposed test in small samples, the bootstrap-based likelihood ratio test and the bootstrap Bartlett correction are considered. The finite sample performance of the tests are assessed using Monte Carlo simulations. The numerical evidence favors the bootstrap-based test. The tests are applied to the DAX log-returns. The results demonstrate the practical usefulness of the proposed two-component tests. ...
Contido em
Economics bulletin. Nashville. Vol. 37, n. 4 (2017), p. 2364-2373
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Estrangeiro
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Artigos de Periódicos (39401)Ciências Sociais Aplicadas (3984)
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