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| Fernanda Maria Müller and Fábio M Bayer |
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| ''Improved two-component tests in Beta-Skew-t-EGARCH models'' |
| ( 2017, Vol. 37 No.4 ) |
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| This work proposes a likelihood ratio test to assist in the selection of the Beta-Skew-t-EGARCH model with one or two volatility components. To improve the performance of the proposed test in small samples, the bootstrap-based likelihood ratio test and the bootstrap Bartlett correction are considered. The finite sample performance of the tests are assessed using Monte Carlo simulations. The numerical evidence favors the bootstrap-based test. The tests are applied to the DAX log-returns. The results demonstrate the practical usefulness of the proposed two-component tests. |
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| Keywords: Beta-Skew-t-EGARCH, bootstrap-based test, bootstrap Bartlett correction, likelihood ratio test, two-component test, volatility. |
JEL: C1 - Econometric and Statistical Methods: General
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| Manuscript Received : Apr 24 2017 | | Manuscript Accepted : Oct 26 2017 |
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