Testing for parameter constancy in GARCH(p,q) models
We propose a test for a change in the parameters of a GARCH(p,q) model. The test is based on approximate likelihood scores and does not require the observations to have finite variance. We show that the test has asymptotically correct size under weak assumptions on model errors.
Year of publication: |
2004
|
---|---|
Authors: | Berkes, Istvan ; Horváth, Lajos ; Kokoszka, Piotr |
Published in: |
Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 70.2004, 4, p. 263-273
|
Publisher: |
Elsevier |
Keywords: | Change in parameters GARCH model Likelihood scores |
Saved in:
Online Resource
Saved in favorites
Similar items by person
-
Tests of Normality of Functional Data
Górecki, Tomasz, (2020)
-
Testing for stochastic dominance using the weighted McFadden-type statistic
Horváth, Lajos, (2006)
-
Monitoring constancy of variance in conditionally heteroskedastic time series
Horváth, Lajos, (2006)
- More ...