Parameter changes in GARCH model

DOI10.1080/02664760902914524OpenAlexW2041179690MaRDI QIDQ5123601

Kosei Fukuda

Publication date: 29 September 2020

Published in: Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02664760902914524

zbMATH Keywords

model selectioninformation criterionGARCH(1,1)parameter change

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (1)

Метод обнаружения структурного сдвига в модели авторегрессионной условной гетероскедастичности: случай распределения Стьюдента

Cites Work

• Unnamed Item
• Unnamed Item
• Estimating the number of change-points via Schwarz' criterion
• Rational-expectations econometric analysis of changes in regime. An investigation of the term structure of interest rates
• Estimating the dimension of a model
• Autoregressive conditional heteroskedasticity and changes in regime
• Change-point estimation in ARCH models
• Generalized autoregressive conditional heteroscedasticity
• Evaluating GARCH models.
• Structural change and estimated persistence in the \(GARCH(1,1)\)-model
• ARCH models as diffusion approximations
• Least‐squares Estimation of an Unknown Number of Shifts in a Time Series
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance
• Estimating and Testing Linear Models with Multiple Structural Changes
• Detecting parameter shift in garch models

This page was built for publication: Parameter changes in GARCH model