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

asymptotic null distributionconditional Gaussian GARCH modelsconditional variancecritical valuesLagrange multiplier testMonte Carlo studiesstructural changetesting for parameter constancy

Mathematics Subject Classification ID

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

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• A residual test for parameter change in GARCH models

Cites work

• A new test for structural stability in the linear regression model
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
• ARCH modeling in finance. A review of the theory and empirical evidence
• ARMA MODELS WITH ARCH ERRORS
• 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
• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• Maximum Likelihood Estimation of Misspecified Models
• Maximum-Likelihood Estimation of Parameters Subject to Restraints
• Tests for a change-point
• Tests for Parameter Instability and Structural Change With Unknown Change Point

Cited in

(28)

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

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