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A Goodness of Fit Test for Threshold GARCH Models
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- Authors
- Advisor
- 이상열
- Major
- 자연과학대학 통계학과
- Issue Date
- 2013-02
- Publisher
- 서울대학교 대학원
- Keywords
- maximum entropy test ; threshold GARCH models ; goodness of fit
- Description
- 학위논문 (석사)-- 서울대학교 대학원 : 통계학과, 2013. 2. 이상열.
- Abstract
- In this paper, an entropy based goodness of fit test is applied to conditional heteroscedasticity models such as the threshold GARCH model. (cf. Lee et al. (2011)). The asymptotic distribution of the test statistic is derived under the null hypothesis so that the test can be taken into practice. In this paper, a bootstrap method is applied in the simulation study to deal with the simple vs. simple test and the composite hypothesis case is stated theoretically. In the simulation study, the performance of the test for four pairs of different , values and model coefficients are evaluated through Monte Carlo simulations. The result shows an adequate performance of the test. Finally, a real data analysis is conducted by using the stock price of Intel Corporation from January 2009 to November 2012 with 988 observations.
- Language
- English
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