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Monitoring parameter change for time series models with conditional heteroscedasticity

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  • Huh, Jaewon
  • Oh, Haejune
  • Lee, Sangyeol

Abstract

This paper studies the monitoring procedure to detect a parameter change in GARCH-type models based on the cumulative sum (CUSUM) of score functions as in Gombay and Serban (2009). For illustration, a simulation study is carried out for asymmetric GARCH models.

Suggested Citation

  • Huh, Jaewon & Oh, Haejune & Lee, Sangyeol, 2017. "Monitoring parameter change for time series models with conditional heteroscedasticity," Economics Letters, Elsevier, vol. 152(C), pages 66-70.
    • Handle: RePEc:eee:ecolet:v:152:y:2017:i:c:p:66-70
    DOI: 10.1016/j.econlet.2017.01.003
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    References listed on IDEAS

    as
    1. Gombay, Edit & Serban, Daniel, 2009. "Monitoring parameter change in time series models," Journal of Multivariate Analysis, Elsevier, vol. 100(4), pages 715-725, April.
    2. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    GARCH-type models; AGARCH models; Monitoring a parameter change; CUSUM method based on score functions;
    All these keywords.

    JEL classification:

    • C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General

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