A Residual-Based Test For Multivariate Garch Models Using Transformed Quadratic Residuals

This paper provides a residual-based approach to examine the adequacy of multivariate GARCH models. We employ the transformed quadratic residuals to construct the residual-based statistic and derive its correct asymptotic distribution by taking into account the impact of parameter estimation uncertainty. The simulation results indicate that the residual-based test achieves reasonable sizes and comparable powers. An empirical application further shows the usefulness of the proposed test. (C) 2021 Elsevier B.V. All rights reserved.