Portmanteau test for a class of multivariate asymmetric power GARCH model
arXiv:2404.12685 · doi:10.1111/jtsa.12646
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.