Unité mixte de recherche 7235

Testing for misspecification in the short-run component of GARCH-type models

Studies in Nonlinear Dynamics and Econometrics

Econometrie

22

2017

Thomas Chuffart, Emmanuel Flachaire, Anne Péguin-Feissolle

In this article, a misspecification test in conditional volatility and GARCH-type models is presented. We propose a Lagrange Multiplier type test based on a Taylor expansion to distinguish between (G)ARCH models and unknown GARCH-type models. This new test can be seen as a general misspecification test of a large set of GARCH-type univariate models. It focuses on the short-term component of the volatility. We investigate the size and the power of this test through Monte Carlo experiments and we compare it to two other standard Lagrange Multiplier tests, which are more restrictive. We show the usefulness of our test with an illustrative empirical example based on daily exchange rate returns.

AGENDA

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Recherche et Economie et Socioéconomie Politique, des Institutions et des Régulations (RESPIR)

Adriano do Vale (Université de Poitiers) et Léo Malherbe (Université Université de Picardie Jules Verne)

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Series of Webinars on Economics of Environment, Energy and Transport (SWEEET)

Thomas Douenne (Univ. Amsterdam), Albert Jan Hummel (Univ. Amsterdam), Marcelo Pedroni (Univ. Amsterdam)

Optimal Fiscal Policy in a Climate-Economy Model with Heterogeneous Households

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Law, Institutions and Economics in Nanterre (LIEN)

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Le rôle d’amortisseur des banques centrales – une perspective historique

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Lunch

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12h - 13h, salle 110

TBA

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Law, Institutions and Economics in Nanterre (LIEN)

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Développement Durable Environnement et Energie (DDEE)

Nicolas Astier (Paris School of Economics)

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