Advanced Search
MyIDEAS: Login

Change-point detection in GARCH models: asymptotic and bootstrap tests

Contents:

Author Info

  • KOKOSZKA, Piotr
  • TEYSSIÈRE, Gilles
Registered author(s):

    Abstract

    Two classes of tests designed to detect changes in volatility are proposed. Procedures based on squared model residuals and on the likelihood ratio are considered. The tests are applicable to parametric nonlinear models like GARCH. Both asymptotic and bootstrap tests are investigated by means of a simulation study and applied to returns data. The tests based onthe likelihood ratio are shown to be generally preferable. A wavelet based estimator of long memory is applied to returns data to shed light on the interplay of change points and long memory.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://alfresco.uclouvain.be/alfresco/download/attach/workspace/SpacesStore/dffa5d6e-b428-40d7-9f45-a2483d46f42c/coredp_2002_65.pdf
    Download Restriction: no

    Bibliographic Info

    Paper provided by Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) in its series CORE Discussion Papers with number 2002065.

    as in new window
    Length:
    Date of creation: 00 Dec 2002
    Date of revision:
    Handle: RePEc:cor:louvco:2002065

    Contact details of provider:
    Postal: Voie du Roman Pays 34, 1348 Louvain-la-Neuve (Belgium)
    Phone: 32(10)474321
    Fax: +32 10474304
    Email:
    Web page: http://www.uclouvain.be/core
    More information through EDIRC

    Related research

    Keywords: GARCH model; change-point; likelihood ratio; parametric bootstrap; squared residuals; size-power curves; wavelets;

    Find related papers by JEL classification:

    References

    No references listed on IDEAS
    You can help add them by filling out this form.

    Citations

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

    Cited by:
    1. TEYSSIERE, Gilles, 2003. "Interaction models for common long-range dependence in asset price volatilities," CORE Discussion Papers 2003026, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    2. Kirman, Alan & Teyssiere, Gilles, 2005. "Testing for bubbles and change-points," Journal of Economic Dynamics and Control, Elsevier, vol. 29(4), pages 765-799, April.

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:cor:louvco:2002065. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Alain GILLIS).

    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 references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link 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 profile, as there may be some citations waiting for confirmation.

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