Monitoring distributional changes of squared residuals in GARCH models

被引：1

作者：

Li, Fuxiao ^{[1
]}

Tian, Zheng ^{[1
,2
]}

Chen, Zhanshou ^{[3
]}

Qi, Peiyan ^{[1
]}

机构：

[1] Xian Univ Technol, Dept Appl Math, Xian 710048, Shaanxi, Peoples R China

[2] Chinese Acad Sci, State Key Lab Remote Sensing Sci, Beijing, Peoples R China

[3] Qinghai Normal Univ, Dept Math, Xining, Qinghai, Peoples R China

来源：

COMMUNICATIONS IN STATISTICS-THEORY AND METHODS | 2017年 / 46卷 / 01期

关键词：

Change point monitoring; Distributional changes of squared residuals; GARCH model; CHANGE-POINT; TIME-SERIES; AUTOREGRESSIVE MODELS;

D O I：

10.1080/03610926.2014.995819

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

Change point monitoring for distributional changes in time-series models is an important issue. In this article, we propose two monitoring procedures to detect distributional changes of squared residuals in GARCH models. The asymptotic properties of our monitoring statistics are derived under both the null of no change in distribution and the alternative of a change in distribution. The finite sample properties are investigated by a simulation.

引用

页码：354 / 372

页数：19

共 50 条

[1] Limit results for the empirical process of squared residuals in GARCH models
Berkes, I
Horváth, L
[J]. STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 2003, 105 (02) : 271 - 298
[2] Monitoring Distributional Changes in Autoregressive Models Based on Weighted Empirical Process of Residuals
Fuxiao LI
Zheng TIAN
Zhanshou CHEN
[J]. Journal of Mathematical Research with Applications, 2015, 35 (03) : 330 - 342
[3] Monitoring Distributional Changes in Autoregressive Models
Lee, Sangyeol
Lee, Youngmi
Na, Okyoung
[J]. COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 2009, 38 (16-17) : 2969 - 2982
[4] Distribution of the cross-correlations of squared residuals in ARIMA models
Wong, H
Li, WK
[J]. CANADIAN JOURNAL OF STATISTICS-REVUE CANADIENNE DE STATISTIQUE, 1996, 24 (04): : 489 - 502
[5] The dynamics of squared returns under contemporaneous aggregation of GARCH models
Jondeau, Eric
[J]. JOURNAL OF EMPIRICAL FINANCE, 2015, 32 : 80 - 93
[6] On the empirical characteristic function process of the residuals in GARCH models and applications
Jimenez Gamero, M. Dolores
[J]. TEST, 2014, 23 (02) : 409 - 432
[7] On the empirical characteristic function process of the residuals in GARCH models and applications
M. Dolores Jiménez Gamero
[J]. TEST, 2014, 23 : 409 - 432
[8] High moment partial sum processes of residuals in GARCH models and their applications
Kulperger, R
Yu, H
[J]. ANNALS OF STATISTICS, 2005, 33 (05): : 2395 - 2422
[9] Propagation functions for monitoring distributional changes
Kaur, Amarjot
Di Consiglio, Loredana
Patil, Ganapati P.
Taillie, Charles
[J]. ENVIRONMENTAL AND ECOLOGICAL STATISTICS, 1995, 2 (03) : 239 - 269
[10] Volatility Persistence and Predictability of Squared Returns in GARCH (1,1) Models
Triacca, Umberto
[J]. CENTRAL EUROPEAN JOURNAL OF ECONOMIC MODELLING AND ECONOMETRICS, 2009, 1 (03): : 285 - 291

← 1 2 3 4 5 →