Detecting parameter shift in garch models (Q4853099)
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scientific article; zbMATH DE number 809351
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Detecting parameter shift in garch models |
scientific article; zbMATH DE number 809351 |
Statements
Detecting parameter shift in garch models (English)
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3 December 1995
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structural change
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testing for parameter constancy
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conditional variance
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Lagrange multiplier test
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conditional Gaussian GARCH models
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asymptotic null distribution
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critical values
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Monte Carlo studies
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