Testing for change in long-memory stochastic volatility time series

DOI10.1111/JTSA.12449MaRDI QIDQ5237528zbMATH OpenOpenAlexFDO

Authors Annika Betken, Rafał Kulik

Publication date 18 October 2019

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1706.06351

zbMATH Keywords

change point testsempirical process limit theoremheavy tailslong-memory stochastic volatilityself-normalization

Mathematics Subject Classification ID

Functional limit theorems; invariance principles (60F17) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Abstract: In this paper, change-point problems for long memory stochastic volatility models are considered. A general testing problem which includes various alternative hypotheses is discussed. Under the hypothesis of stationarity the limiting behavior of CUSUM- and Wilcoxon-type test statistics is derived. In this context, a limit theorem for the two-parameter empirical process of long memory stochastic volatility time series is proved. In particular, it is shown that the asymptotic distribution of CUSUM test statistics may not be affected by long memory, unlike Wilcoxon test statistics which are typically influenced by long range dependence. To avoid the estimation of nuisance parameters in applications, the usage of self-normalized test statistics is proposed. The theoretical results are accompanied by simulation studies which characterize the finite sample behavior of the considered testing procedures when testing for changes in mean, in variance, and in the tail index.

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Cited in

(11)

• Testing for a slowly changing level with special reference to stochastic volatility
• Monitoring mean and variance change-points in long-memory time series
• Rank-based change-point analysis for long-range dependent time series
• TESTING FOR LONG MEMORY IN VOLATILITY
• Testing for changing volatility
• Tests for volatility shifts in GARCH against long-range dependence
• Likelihood inference for discriminating between long-memory and change-point models
• Change-Point Tests for the Tail Parameter of Long Memory Stochastic Volatility Time Series
• Testing for changes in the mean or variance of long memory processes
• Change point in variance of fractionally integrated noise
• Online monitoring variance change in a linear regression model with long-memory errors

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