Sequential change-point detection in time series models with conditional heteroscedasticity

Youngmi Lee, Sungdon Kim and Haejune Oh

Economics Letters, 2024, vol. 236, issue C

Abstract: In this study, we investigate a sequential procedure for the early detection of parameter changes in conditionally heteroscedastic time series models. We introduce the detectors based on the cumulative sum of score vectors and residuals for this procedure. The asymptotic properties of the monitoring procedures are established under the null and alternative hypotheses. Simulation results are provided for illustration.

Keywords: Sequential detection; Parameter change; Conditionally heteroscedastic time series; GARCH-type models; Asymmetric GARCH (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:236:y:2024:i:c:s0165176524000806

DOI: 10.1016/j.econlet.2024.111597

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