Multiple change points detection of GARCH(1,1) model with SupF method (Q5367732)
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scientific article; zbMATH DE number 6795135
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|---|---|---|---|
| default for all languages | No label defined |
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| English | Multiple change points detection of GARCH(1,1) model with SupF method |
scientific article; zbMATH DE number 6795135 |
Statements
20 October 2017
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GARCH(1,1) model
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ARMA(1,1) model
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multiple change points
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SupF test
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limiting distribution
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GARCH(1, 1) 模型多变点的SupF检验 (English)
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0.8300684690475464
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0.8081345558166504
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0.806719958782196
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0.8009822964668274
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