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Testing Goodness-of-Fit in Autoregressive Fractionally Integrated Moving-Average Models with Conditional Hetroscedastic Errors of Unknown form

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Author Affiliations

  • 1Department of Statistics, Islamia College University Peshawar, PAKISTAN
  • 2 Department of Statistics, University of Peshawar, Peshawar, PAKISTAN

Res. J. Recent Sci., Volume 2, Issue (5), Pages 39-43, May,2 (2013)

Abstract

This paper considers testing goodness-of-fit in Autoregressive fractionally integrated moving-average models with conditional hetroscedasticity. We extend the applicability of Hong’s and power transformed Hong’s test statistics as goodness-of-fit tests in ARFIMA-GARCH models, where the structural form of GARCH model is unknown. Simulation study is performed to assess the size and power performance of both tests.

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