Portmanteau Test for ARCH-Type Models by Using High-Frequency Data

IF 16.4 1区化学 Q1 CHEMISTRY, MULTIDISCIPLINARY

Accounts of Chemical Research Pub Date : 2024-02-22 DOI:10.3390/axioms13030141

Yanshan Chen, Xingfa Zhang, Chunliang Deng, Yujiao Liu

引用次数: 0

Abstract

The portmanteau test is an effective tool for testing the goodness of fit of models. Motivated by the fact that high-frequency data can improve the estimation accuracy of models, a modified portmanteau test using high-frequency data is proposed for ARCH-type models in this paper. Simulation results show that the empirical size and power of the modified test statistics of the model using high-frequency data are better than those of the daily model. Three stock indices (CSI 300, SSE 50, CSI 500) are taken as an example to illustrate the practical application of the test.

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利用高频数据对 ARCH 型模型进行波特曼检验

波特曼检验是检验模型拟合度的有效工具。由于高频数据可以提高模型的估计精度，本文针对 ARCH 型模型提出了使用高频数据的修正波特曼检验。仿真结果表明，使用高频数据的模型的修正检验统计量的经验大小和功率均优于日模型。本文以三个股票指数（沪深 300、上证 50、中证 500）为例，说明了该检验方法的实际应用。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Accounts of Chemical Research 化学-化学综合

CiteScore

31.40

自引率

1.10%

发文量

312

审稿时长

2 months

期刊介绍： Accounts of Chemical Research presents short, concise and critical articles offering easy-to-read overviews of basic research and applications in all areas of chemistry and biochemistry. These short reviews focus on research from the author’s own laboratory and are designed to teach the reader about a research project. In addition, Accounts of Chemical Research publishes commentaries that give an informed opinion on a current research problem. Special Issues online are devoted to a single topic of unusual activity and significance. Accounts of Chemical Research replaces the traditional article abstract with an article "Conspectus." These entries synopsize the research affording the reader a closer look at the content and significance of an article. Through this provision of a more detailed description of the article contents, the Conspectus enhances the article's discoverability by search engines and the exposure for the research.