A residual test for parameter change in GARCH models (Q5318935)
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scientific article; zbMATH DE number 5583466
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| English | A residual test for parameter change in GARCH models |
scientific article; zbMATH DE number 5583466 |
Statements
22 July 2009
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cumulative sum test
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GARCH processes
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Brownian bridge
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0.8896166682243347
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0.8786370158195496
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0.8753657341003418
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0.8727120757102966
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0.867895245552063
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