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

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  • 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.

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Bibliographic Info

Article provided by Elsevier in its journal Statistics & Probability Letters.

Volume (Year): 70 (2004)
Issue (Month): 4 (December)
Pages: 263-273

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Handle: RePEc:eee:stapro:v:70:y:2004:i:4:p:263-273

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Related research

Keywords: Change in parameters GARCH model Likelihood scores;

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Cited by:
  1. Oka, Tatsushi & Qu, Zhongjun, 2011. "Estimating structural changes in regression quantiles," Journal of Econometrics, Elsevier, vol. 162(2), pages 248-267, June.
  2. 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.
  3. 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.

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