Multiple change points detection of GARCH(1,1) model with SupF method

DOI10.13338/J.ISSN.1006-8341.2017.01.011MaRDI QIDQ5367732zbMATH OpenOpenAlexFDO

Authors Rui Zhao, Wenzhi Zhao, Huiqin Lv

Publication date 20 October 2017

Full work available at URL http://fzgx.xpu.edu.cn/Upload/html/2017.1.11.htm

zbMATH Keywords

ARMA(1,1) modelGARCH(1,1) modellimiting distributionmultiple change pointsSupF test

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Point estimation (62F10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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