期刊名称：Discussion Paper Series / Universität Heidelberg, Department of Economics
出版年度：2015
出版社：Universität Heidelberg, Department of Economics
摘要：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 .uctuates 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 investi- gate 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
