Testing for parameter constancy in GARCH\((p,q)\) models

DOI10.1016/j.spl.2004.10.010zbMath1058.62070OpenAlexW2088704603MaRDI QIDQ1767739

Lajos Horváth, István Berkes, Piotr S. Kokoszka

Publication date: 8 March 2005

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2004.10.010

zbMATH Keywords

GARCH modelChange in parametersLikelihood scores

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10) Asymptotic properties of parametric tests (62F05)

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