Testing for parameter constancy in GARCH(p,q) models
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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Volume (Year): 70 (2004)
Issue (Month): 4 (December)
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