Tests for Volatility Shifts in Garch Against Long‐Range Dependence

DOI10.1111/JTSA.12098zbMath1307.62210OpenAlexW1832231295WikidataQ122235010 ScholiaQ122235010MaRDI QIDQ5177968

Taewook Lee, Moosup Kim, Changryong Baek

Publication date: 9 March 2015

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/jtsa.12098

zbMATH Keywords

long-range dependenceGARCH modelschange point analysisvolatility shifts

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Self-similar stochastic processes (60G18)

Related Items (4)

Sparse vector heterogeneous autoregressive modeling for realized volatility ⋮ Block wild bootstrap-based CUSUM tests robust to high persistence and misspecification ⋮ Detecting structural breaks in realized volatility ⋮ Robust test for structural instability in dynamic factor models

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