title: Misspecification Testing in GARCH-MIDAS Models
creator: Conrad, Christian
creator: Schienle, Melanie 
subject: ddc-330
subject: 330 Economics
description: We develop a misspecification test for the multiplicative two-component GARCH-MIDAS model suggested in Engle et al. (2013). In the GARCH-MIDAS model a short-term unit variance GARCH component fluctuates around a smoothly time-varying long-term component which is driven by the dynamics of an explanatory variable. We suggest a Lagrange Multiplier statistic for testing the null hypothesis that the variable has no explanatory power. Hence, under the null hypothesis the long-term component is constant and the GARCH-MIDAS reduces to the simple GARCH model. We derive the asymptotic theory for our test statistic and investigate its finite sample properties by Monte-Carlo simulation. The usefulness of our procedure is illustrated by an empirical application to S&P 500 return data.
date: 2015-07
type: Working paper
type: info:eu-repo/semantics/workingPaper
type: NonPeerReviewed
format: application/pdf
identifier: https://archiv.ub.uni-heidelberg.de/volltextserverhttps://archiv.ub.uni-heidelberg.de/volltextserver/19006/1/conrad_schienle_2015_dp597.pdf
identifier: DOI:10.11588/heidok.00019006
identifier: urn:nbn:de:bsz:16-heidok-190061
identifier:   Conrad, Christian ; Schienle, Melanie   (2015) Misspecification Testing in GARCH-MIDAS Models.  [Working paper]     
relation: https://archiv.ub.uni-heidelberg.de/volltextserver/19006/
rights: info:eu-repo/semantics/openAccess
rights: http://archiv.ub.uni-heidelberg.de/volltextserver/help/license_urhg.html
language: eng