Parameter changes in GARCH model

DOI10.1080/02664760902914524MaRDI QIDQ5123601zbMATH OpenOpenAlexFDO

Authors Kosei Fukuda

Publication date 29 September 2020

Published in Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/02664760902914524

zbMATH Keywords

model selectioninformation criterionGARCH(1,1)parameter change

Mathematics Subject Classification ID

Statistics (62-XX)

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Cites work

• scientific article; zbMATH DE number 3635352 (Why is no real title available?)
• scientific article; zbMATH DE number 1034049 (Why is no real title available?)
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• ARCH models as diffusion approximations
• Autoregressive conditional heteroskedasticity and changes in regime
• Change-point estimation in ARCH models
• Detecting parameter shift in garch models
• Estimating and Testing Linear Models with Multiple Structural Changes
• Estimating the dimension of a model
• Estimating the number of change-points via Schwarz' criterion
• Evaluating GARCH models.
• Generalized autoregressive conditional heteroscedasticity
• Least-squares estimation of an unknown number of shifts in a time series
• Rational-expectations econometric analysis of changes in regime. An investigation of the term structure of interest rates
• Structural change and estimated persistence in the \(GARCH(1,1)\)-model
• Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance

Cited in

(7)

• Neglecting parameter changes in GARCH models
• Detecting for smooth structural changes in GARCH models
• Multiple change points detection of GARCH(1,1) model with SupF method
• A ratio test to detect change point in GARCH model
• Distribution switching in financial time series
• Detecting level shifts in ARMA-GARCH (1,1) Models
• Метод обнаружения структурного сдвига в модели авторегрессионной условной гетероскедастичности: случай распределения Стьюдента

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