Monitoring parameter change for time series models with conditional heteroscedasticity

Jaewon Huh, Haejune Oh and Sangyeol Lee

Economics Letters, 2017, vol. 152, issue C, 66-70

Abstract: This paper studies the monitoring procedure to detect a parameter change in GARCH-type models based on the cumulative sum (CUSUM) of score functions as in Gombay and Serban (2009). For illustration, a simulation study is carried out for asymmetric GARCH models.

Keywords: GARCH-type models; AGARCH models; Monitoring a parameter change; CUSUM method based on score functions (search for similar items in EconPapers)
JEL-codes: C12 C4 (search for similar items in EconPapers)
Date: 2017
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:152:y:2017:i:c:p:66-70

DOI: 10.1016/j.econlet.2017.01.003

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