The Residual Test for Parameters Change in GARCH Models

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.