GARCH模型参数变化的残量检验

The Residual Test for Parameters Change in GARCH Models

  • 摘要: 本文研究GARCH模型参数变化的检验问题. 给出残量累积和统计量, 在原假设下得到了统计量的极限分布; 模拟结果表明残量检验可以弥补Kim, Cho和Lee (2000)\ucite1提出的平方累积和检验的某些不足, 比如经验势函数值过低的问题.

     

    Abstract: This paper studies the problem of testing for parameter change in GARCH models. We proposed residual cumulative sum test statistic and obtained the limiting distribution of test statistic under null hypothesis. The results of a simulation study show that the residual cumulative test can offset the drawbacks, such as low powers of the squares cumulative sum test proposed by Kim, Cho and Lee (2000)1 and the test is also applied to real data analysis.

     

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