Detecting parameter shift in garch models

DOI10.1080/07474939508800318MaRDI QIDQ4853099zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• A new test for structural stability in the linear regression model
• ARCH modeling in finance. A review of the theory and empirical evidence
• ARMA MODELS WITH ARCH ERRORS
• An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Crossing probabilities for a square root boundary by a bessel process
• Generalized autoregressive conditional heteroscedasticity
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Maximum Likelihood Estimation of Misspecified Models
• Maximum-Likelihood Estimation of Parameters Subject to Restraints
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• Tests for a change-point

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
• A robust LR test for the GARCH model
• Neglecting structural breaks when estimating and valuing dynamic correlations for asset allocation
• A new fluctuation test for constant variances with applications to finance
• Testing for parameter changes in ARCH models
• Detection of multiple change-points in multivariate time series
• Test for tail index constancy of GARCH innovations based on conditional volatility
• Changes of structure in financial time series and the GARCH model
• 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
• Empirical modelling of the DEM/USD and DEM/JPY foreign exchange rate: Structural shifts in GARCH-models and their implications
• New penalty in information criteria for the ARCH sequence with structural changes
• Powerful tests for structural changes in volatility

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