On the cusum test for parameter changes in GARCH(1,1) models

被引：42

作者：

Kim, S ^{[1
]}

Cho, S ^{[1
]}

Lee, S ^{[1
]}

机构：

[1] Seoul Natl Univ, Dept Stat, Seoul 151742, South Korea

来源：

COMMUNICATIONS IN STATISTICS-THEORY AND METHODS | 2000年 / 29卷 / 02期

关键词：

GARCH models; testing parameter constancy; change point detection; cusum test; martingales; weak convergence;

D O I：

10.1080/03610920008832494

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：

This paper considers the problem of testing parameter constancy in GARCH(1,1) models. A cusum of squares test is proposed in analogy of Inclan and Tiao (1994)'s statistic. Its limiting distribution is derived via using the invariance principle for mixingale sequences obtained by McLeish (1975). Simulation results are illustrated to demonstrate the validity of the cusum test.

引用

页码：445 / 462

页数：18

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