IDEAS home Printed from https://ideas.repec.org/a/eee/stapro/v70y2004i4p263-273.html
   My bibliography  Save this article

Testing for parameter constancy in GARCH(p,q) models

Author

Listed:
  • Berkes, Istvan
  • Horváth, Lajos
  • Kokoszka, Piotr

Abstract

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.

Suggested Citation

  • Berkes, Istvan & Horváth, Lajos & Kokoszka, Piotr, 2004. "Testing for parameter constancy in GARCH(p,q) models," Statistics & Probability Letters, Elsevier, vol. 70(4), pages 263-273, December.
    • Handle: RePEc:eee:stapro:v:70:y:2004:i:4:p:263-273
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0167-7152(04)00272-X
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Drost, Feike C. & Klaassen, Chris A. J., 1997. "Efficient estimation in semiparametric GARCH models," Journal of Econometrics, Elsevier, vol. 81(1), pages 193-221, November.
    2. Elena Andreou & Eric Ghysels, 2002. "Detecting multiple breaks in financial market volatility dynamics," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(5), pages 579-600.
    3. Kokoszka, Piotr & Leipus, Remigijus, 1998. "Change-point in the mean of dependent observations," Statistics & Probability Letters, Elsevier, vol. 40(4), pages 385-393, November.
    4. Berkes, István & Horváth, Lajos, 2003. "The rate of consistency of the quasi-maximum likelihood estimator," Statistics & Probability Letters, Elsevier, vol. 61(2), pages 133-143, January.
    5. KOKOSZKA, Piotr & TEYSSIÈRE, Gilles, 2002. "Change-point detection in GARCH models: asymptotic and bootstrap tests," LIDAM Discussion Papers CORE 2002065, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    6. Lundbergh, Stefan & Terasvirta, Timo, 2002. "Evaluating GARCH models," Journal of Econometrics, Elsevier, vol. 110(2), pages 417-435, October.
    7. 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.
    8. Marc Lavielle & Eric Moulines, 2000. "Least‐squares Estimation of an Unknown Number of Shifts in a Time Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 21(1), pages 33-59, January.
    9. Bougerol, Philippe & Picard, Nico, 1992. "Stationarity of Garch processes and of some nonnegative time series," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 115-127.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Cho, Haeran & Korkas, Karolos K., 2022. "High-dimensional GARCH process segmentation with an application to Value-at-Risk," Econometrics and Statistics, Elsevier, vol. 23(C), pages 187-203.
    2. Cavaliere, Giuseppe & Taylor, A.M. Robert, 2008. "Testing for a change in persistence in the presence of non-stationary volatility," Journal of Econometrics, Elsevier, vol. 147(1), pages 84-98, November.
    3. Oka, Tatsushi & Qu, Zhongjun, 2011. "Estimating structural changes in regression quantiles," Journal of Econometrics, Elsevier, vol. 162(2), pages 248-267, June.
    4. Haejune Oh & Sangyeol Lee, 2018. "On score vector- and residual-based CUSUM tests in ARMA–GARCH models," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 27(3), pages 385-406, August.
    5. Song, Junmo & Kang, Jiwon, 2018. "Parameter change tests for ARMA–GARCH models," Computational Statistics & Data Analysis, Elsevier, vol. 121(C), pages 41-56.
    6. Chunliang Deng & Xingfa Zhang & Yuan Li & Qiang Xiong, 2020. "Garch Model Test Using High-Frequency Data," Mathematics, MDPI, vol. 8(11), pages 1-17, November.
    7. Youngmi Lee & Sangyeol Lee, 2019. "CUSUM test for general nonlinear integer-valued GARCH models: comparison study," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 71(5), pages 1033-1057, October.
    8. Kang, Jiwon & Song, Junmo, 2017. "Score test for parameter change in Poisson autoregressive models," Economics Letters, Elsevier, vol. 160(C), pages 33-37.
    9. Haejune Oh & Sangyeol Lee, 2019. "Modified residual CUSUM test for location-scale time series models with heteroscedasticity," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 71(5), pages 1059-1091, October.
    10. Haipeng Xing & Hongsong Yuan & Sichen Zhou, 2017. "A Mixtured Localized Likelihood Method for GARCH Models with Multiple Change-points," Review of Economics & Finance, Better Advances Press, Canada, vol. 8, pages 44-60, May.
    11. Lee, Sangyeol & Song, Junmo, 2008. "Test for parameter change in ARMA models with GARCH innovations," Statistics & Probability Letters, Elsevier, vol. 78(13), pages 1990-1998, September.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Elena Andreou, 2004. "The Impact of Sampling Frequency and Volatility Estimators on Change-Point Tests," Journal of Financial Econometrics, Oxford University Press, vol. 2(2), pages 290-318.
    2. Elena Andreou & Eric Ghysels, 2002. "Tests for Breaks in the Conditional Co-movements of Asset Returns," CIRANO Working Papers 2002s-59, CIRANO.
    3. Yining Chen, 2015. "Semiparametric Time Series Models with Log-concave Innovations: Maximum Likelihood Estimation and its Consistency," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 42(1), pages 1-31, March.
    4. Meitz, Mika & Saikkonen, Pentti, 2008. "Ergodicity, Mixing, And Existence Of Moments Of A Class Of Markov Models With Applications To Garch And Acd Models," Econometric Theory, Cambridge University Press, vol. 24(5), pages 1291-1320, October.
    5. Dominique Guegan & Bertrand K. Hassani, 2019. "Risk Measurement," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-02119256, HAL.
    6. Zhu, Ke & Li, Wai Keung, 2013. "A new Pearson-type QMLE for conditionally heteroskedastic models," MPRA Paper 52344, University Library of Munich, Germany.
    7. Richard Heaney & Kerry Pattenden, 2005. "Change in unconditional foreign exchange rate volatility: an analysis of the GBP and USD price of the Euro from 2002 to 2003," Applied Economics Letters, Taylor & Francis Journals, vol. 12(15), pages 929-932.
    8. Haipeng Xing & Hongsong Yuan & Sichen Zhou, 2017. "A Mixtured Localized Likelihood Method for GARCH Models with Multiple Change-points," Review of Economics & Finance, Better Advances Press, Canada, vol. 8, pages 44-60, May.
    9. Cosimo Petracchi, 2021. "The Mussa Puzzle: A Generalization," Working Papers 2021-001, Brown University, Department of Economics.
    10. Elena Andreou & Eric Ghysels, 2002. "Detecting multiple breaks in financial market volatility dynamics," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(5), pages 579-600.
    11. Rasmus Søndergaard Pedersen & Anders Rahbek, 2015. "Nonstationary ARCH and GARCH with t-Distributed Innovations," Discussion Papers 15-07, University of Copenhagen. Department of Economics.
    12. Christian Francq & Jean-Michel Zakoïan, 2008. "A Tour in the Asymptotic Theory of GARCH Estimation," Working Papers 2008-03, Center for Research in Economics and Statistics.
    13. Pablo Mendieta & Sergio Cerezo & Javier Cossio, 2009. "¿La inflación está de vuelta en Sudamérica?: choques exógenos, expectativas y credibilidad de la política monetaria," Monetaria, CEMLA, vol. 0(3), pages 359-389, octubre-d.
    14. Jianqing Fan & Lei Qi & Dacheng Xiu, 2014. "Quasi-Maximum Likelihood Estimation of GARCH Models With Heavy-Tailed Likelihoods," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 32(2), pages 178-191, April.
    15. Guillermo Benavides & Carlos Capistrán, 2009. "Una nota sobre las volatilidades de la tasa de interés y del tipo de cambio según diferentes instrumentos de política monetaria: México 1998-2008," Monetaria, CEMLA, vol. 0(3), pages 391-412, octubre-d.
    16. Francq, Christian & Zakoïan, Jean-Michel, 2009. "Testing the Nullity of GARCH Coefficients: Correction of the Standard Tests and Relative Efficiency Comparisons," Journal of the American Statistical Association, American Statistical Association, vol. 104(485), pages 313-324.
    17. Daniel Smith, 2008. "Testing for structural breaks in GARCH models," Applied Financial Economics, Taylor & Francis Journals, vol. 18(10), pages 845-862.
    18. Christian Francq & Jean-Michel Zakoïan, 2006. "Inference in GARCH when some coefficients are equal to zero," Computing in Economics and Finance 2006 64, Society for Computational Economics.
    19. Javier Pereda, 2009. "Estimación de la curva de rendimiento para el Perú y su uso para el análisis monetario," Monetaria, CEMLA, vol. 0(3), pages 413-450, octubre-d.
    20. Francq, Christian & Zakoïan, Jean-Michel, 2022. "Testing the existence of moments for GARCH processes," Journal of Econometrics, Elsevier, vol. 227(1), pages 47-64.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:stapro:v:70:y:2004:i:4:p:263-273. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.