On the Cusum test for parameter changes in garch(1,1) Models

DOI10.1080/03610920008832494zbMath1107.62359OpenAlexW2086147858MaRDI QIDQ4541704

Sangyeol Lee, Soohwa Kim, Sinsup Cho

Publication date: 28 July 2002

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610920008832494

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Related Items (24)

Monitoring parameter change for time series models with application to location-Scale heteroscedastic models ⋮ Location and scale-based CUSUM test with application to autoregressive models ⋮ On the cusum of squares test for variance change in nonstationary and nonparametric time series models ⋮ Recent progress in parameter change test for integer-valued time series models ⋮ High moment partial sum processes of residuals in GARCH models and their applications ⋮ Метод обнаружения структурного сдвига в модели авторегрессионной условной гетероскедастичности: случай распределения Стьюдента ⋮ Test for conditional quantile change in GARCH models ⋮ SEQUENTIAL CHANGE-POINT DETECTION IN GARCH(p,q) MODELS ⋮ Testing for parameter constancy in general causal time-series models ⋮ Spurious regression due to neglected of non-stationary volatility ⋮ Bayesian modelling of time-varying conditional heteroscedasticity ⋮ A test for parameter change in general causal time series using quasi-likelihood estimator ⋮ Test for conditional quantile change in general conditional heteroscedastic time series models ⋮ Least Squares Volatility Change Point Estimation for Partially Observed Diffusion Processes ⋮ U-Statistic Based Modified Information Criterion for Change Point Problems ⋮ Randomised pseudolikelihood ratio change point estimator in GARCH models ⋮ Bootstrap procedures for variance breaks test in time series with a changing trend ⋮ Test for parameter change in stochastic processes based on conditional least-squares estimator ⋮ Hölder convergence of autoregression residuals partial sum processes ⋮ Modified tests for change points in variance in the possible presence of mean breaks ⋮ Estimation for the change point of volatility in a stochastic differential equation ⋮ On score vector- and residual-based CUSUM tests in ARMA-GARCH models ⋮ Modified residual CUSUM test for location-scale time series models with heteroscedasticity ⋮ Simultaneous inference for time-varying models

Cites Work

• Unnamed Item
• Generalized autoregressive conditional heteroscedasticity
• The effect of serial correlation on tests for parameter change at unknown time
• On a measure of lack of fit in time series models
• Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance
• Invariance principles for dependent variables

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