Detecting parameter shift in garch models

DOI10.1080/07474939508800318zbMath0832.62099OpenAlexW2051030369MaRDI QIDQ4853099

Chia-Shang James Chu

Publication date: 3 December 1995

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474939508800318

zbMATH Keywords

critical valuesstructural changeconditional varianceLagrange multiplier testMonte Carlo studiesasymptotic null distributionconditional Gaussian GARCH modelstesting for parameter constancy

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Hypothesis testing in multivariate analysis (62H15)

Related Items (16)

Empirical modelling of the DEM/USD and DEM/JPY foreign exchange rate: Structural shifts in GARCH-models and their implications ⋮ Asymmetric Volatility Models with Structural Breaks ⋮ A time varying \(\mathrm{GARCH}(p,q)\) model and related statistical inference ⋮ SEQUENTIAL CHANGE-POINT DETECTION IN GARCH(p,q) MODELS ⋮ A new fluctuation test for constant variances with applications to finance ⋮ Bayesian modelling of time-varying conditional heteroscedasticity ⋮ Parameter changes in GARCH model ⋮ Detection of multiple change-points in multivariate time series ⋮ Powerful tests for structural changes in volatility ⋮ DETECTING FOR SMOOTH STRUCTURAL CHANGES IN GARCH MODELS ⋮ The Effects of Structural Breaks in ARCH and GARCH Parameters on Persistence of GARCH Models ⋮ Testing for parameter changes in ARCH models ⋮ Empirical process of the squared residuals of an ARCH sequence ⋮ Neglecting structural breaks when estimating and valuing dynamic correlations for asset allocation ⋮ Evaluating GARCH models. ⋮ Simultaneous inference for time-varying models

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