Detecting parameter shift in garch models (Q4853099)
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scientific article; zbMATH DE number 809351
| Language | Label | Description | Also known as |
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| default for all languages | No label defined |
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| English | Detecting parameter shift in garch models |
scientific article; zbMATH DE number 809351 |
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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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0.8919410705566406
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0.847813606262207
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0.8369216322898865
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0.8359944224357605
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0.8295187950134277
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