Detecting parameter shift in garch models

DOI10.1080/07474939508800318zbMATH Open0832.62099OpenAlexW2051030369MaRDI QIDQ4853099FDOQ4853099

Authors: Chia-Shang James Chu 

Publication date: 3 December 1995

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474939508800318

Recommendations

• Testing for parameter constancy in GARCH\((p,q)\) models
• A robust LR test for the GARCH model
• On the Cusum test for parameter changes in garch(1,1) Models
• Detecting for smooth structural changes in GARCH models
• A residual test for parameter change in GARCH models

zbMATH Keywords

structural changecritical valuesLagrange multiplier testconditional varianceMonte Carlo studiesasymptotic null distributionconditional Gaussian GARCH modelstesting for parameter constancy

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Hypothesis testing in multivariate analysis (62H15)

Cites Work

• Generalized autoregressive conditional heteroscedasticity
• Maximum Likelihood Estimation of Misspecified Models
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Title not available (Why is that?)
• ARCH modeling in finance. A review of the theory and empirical evidence
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Maximum-Likelihood Estimation of Parameters Subject to Restraints
• An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
• A new test for structural stability in the linear regression model
• Crossing probabilities for a square root boundary by a bessel process
• Tests for a change-point
• ARMA MODELS WITH ARCH ERRORS

Cited In (26)

• The Effects of Structural Breaks in ARCH and GARCH Parameters on Persistence of GARCH Models
• Asymmetric volatility models with structural breaks
• Detecting for smooth structural changes in GARCH models
• Simultaneous inference for time-varying models
• Neglecting structural breaks when estimating and valuing dynamic correlations for asset allocation
• A robust LR test for the GARCH model
• A new fluctuation test for constant variances with applications to finance
• Detection of multiple change-points in multivariate time series
• Testing for parameter changes in ARCH models
• Changes of structure in financial time series and the GARCH model
• Test for tail index constancy of GARCH innovations based on conditional volatility
• Evaluating GARCH models.
• Guaranteed detection of an imbalance instant of the GARCH-process
• Empirical process of the squared residuals of an ARCH sequence
• Testing for parameter constancy in GARCH\((p,q)\) models
• SEQUENTIAL CHANGE-POINT DETECTION IN GARCH(p,q) MODELS
• Detecting level shifts in ARMA-GARCH (1,1) Models
• On change-point detection in volatile series using GARCH models
• Parameter changes in GARCH model
• A time varying \(\mathrm{GARCH}(p,q)\) model and related statistical inference
• Si-GARCH: Construction and validation of a new method for the detection of breaking points in models
• Bayesian modelling of time-varying conditional heteroscedasticity
• A Lagrange multiplier test for GARCH models
• New penalty in information criteria for the ARCH sequence with structural changes
• Empirical modelling of the DEM/USD and DEM/JPY foreign exchange rate: Structural shifts in GARCH-models and their implications
• Powerful tests for structural changes in volatility

This page was built for publication: Detecting parameter shift in garch models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4853099)