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

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