We investigate several promising algorithms, proposed in literature, devised to detect sudden changes (structural breaks) in the volatility of financial time series. Comparative study of three techniques: ICSS, NPCPM and Cheng's algorithm is carried out via numerical simulation in the case of...

We investigate several promising algorithms, proposed in literature, devised to detect sudden changes (structural breaks) in the volatility of financial time series. Comparative study of three techniques: ICSS, NPCPM and Cheng's algorithm is carried out via numerical simulation in the case of...

In this paper, we study the Jarque–Bera (JB) and cusum tests for the normality of innovations and parameter change in BCTT-GARCH models. In order to demonstrate the validity of JB normality and cusum parameter change tests, we derive their limiting null distributions under mild conditions.

This paper proposes volatility and spectral based methods for the cluster analysis of stock returns. Using the information about both the estimated parameters in the threshold GARCH (or TGARCH) equation and the periodogram of the squared returns, we compute a distance matrix for the stock...