Portmanteau test for a class of multivariate asymmetric power GARCH model

TL;DR

This paper develops a portmanteau test for multivariate asymmetric power GARCH models, analyzing residual autocovariances and autocorrelations, with theoretical derivations, simulations, and real data application.

Contribution

It introduces a novel portmanteau test for a class of multivariate asymmetric power GARCH models with proven asymptotic properties.

Findings

Asymptotic distribution of the test statistics is derived.

Monte Carlo experiments validate the theoretical results.

Application to financial data demonstrates practical usefulness.

Abstract

We establish the asymptotic behaviour of the sum of squared residuals autocovariances and autocorrelations for the class of multi-variate power transformed asymmetric models. We then derive a portmanteau test. We establish the asymptotic distribution of the proposed statistics. These asymptotic results are illustrated by Monte Carlo experiments. An application to a bivariate real financial data is also proposed.