Testing for parameter change epochs in GARCH time series

DOI10.1093/ECTJ/UTAD006MaRDI QIDQ6968544zbMATH OpenFDO

Authors Stefan Richter, Weining Wang, Wei Biao Wu

Publication date 24 June 2025

Published in The Econometrics Journal (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1093/ECTJ/UTAD006

zbMATH Keywords

change-point analysisconcentration inequalitiesGARCHIGARCHuniform test

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

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• Asymptotic Statistics
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• SEQUENTIAL CHANGE-POINT DETECTION IN GARCH(p,q) MODELS
• Simultaneous discovery of rare and common segment variants
• Stationarity of GARCH processes and of some nonnegative time series
• Strict stationarity of generalized autoregressive processes
• Strict stationarity testing and estimation of explosive and stationary generalized autoregressive conditional heteroscedasticity models
• Testing explosive bubbles with time-varying volatility

Cited in

(3)

• Sequential monitoring for changes in GARCH(1,1) models without assuming stationarity
• On joint testing of changes in conditional mean and variance functions of stationary and ergodic time series
• Improved estimation of dynamic models of conditional means and variances

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