A note on Portmanteau tests for conditional heteroscedastistic models

We derive the asymptotic distribution of autocorrelation of squared residuals for a wide class of conditional heteroscedastistic models when some parameters lie on the boundary. The limiting distribution of the portmanteau test statistic is no longer chi-square but taking a quadratic form of a normally distributed random variable which is projected onto a convex cone. Simulations are conducted and they reveal that using conventional chi-square...