Abstract #301761

This is the preliminary program for the 2003 Joint Statistical Meetings in San Francisco, California. Currently included in this program is the "technical" program, schedule of invited, topic contributed, regular contributed and poster sessions; Continuing Education courses (August 2-5, 2003); and Committee and Business Meetings. This on-line program will be updated frequently to reflect the most current revisions.

To View the Program:
You may choose to view all activities of the program or just parts of it at any one time. All activities are arranged by date and time.

The views expressed here are those of the individual authors
and not necessarily those of the ASA or its board, officers, or staff.

Back to main JSM 2003 Program page
JSM 2003 Abstract #301761
Activity Number: 19
Type: Contributed
Date/Time: Sunday, August 3, 2003 : 2:00 PM to 3:50 PM
Sponsor: Business & Economics Statistics Section
Abstract - #301761
Title: Specification Testing of Multivariate GARCH Models: A Monte Carlo Study
Author(s): Sonila Beliu*+ and Matthew L. Higgins
Companies: Western Michigan University and Western Michigan University
Address: Dept. of Economics, Kalamazoo, MI, 49008,
Keywords: GARCH ; specification testing ; Monte Carlo
Abstract:

Multivariate GARCH models have been widely used to represent the time-varying variances and covariances of the return on financial assets. In order to reduce the number of parameters to be estimated, it is often assumed that the conditional correlations between returns are constant. Recently, several tests have been proposed to test this assumption. These tests include the LM test of Tse (2000), the information matrix test of Bera and Kim (2002), and the LR test of Engle (2002). All of these tests are derived from a specific parameterization of the constants correlation assumption. We present a Monte Carlo study of the size and power properties of the above tests for the constant correlation assumption. The properties of the tests are considered when the data-generating process includes the standard constant correlation model, the BEKK model, the Dynamic Conditional Correlation GARCH model, and the Orthogonal GARCH model. We consider the properties of the tests in both low- and high-dimensional models

  • The address information is for the authors that have a + after their name.
  • Authors who are presenting talks have a * after their name.

Back to the full JSM 2003 program

JSM 2003 For information, contact meetings@amstat.org or phone (703) 684-1221. If you have questions about the Continuing Education program, please contact the Education Department.
Revised March 2003