Chen, Bin; Hong, Yongmiao - 2013
Detecting and modelling structural changes in GARCH processes have attracted increasing attention in time series … econometrics. In this paper, we propose a new approach to testing structural changes in GARCH models. The idea is to compare the … log likelihoods of a time-varying parameter GARCH model and a constant parameter GARCH model, where the time-varying GARCH …