Monitoring distributional changes of squared residuals in GARCH models

Fuxiao Li, Zheng Tian, Zhanshou Chen and Peiyan Qi

Communications in Statistics - Theory and Methods, 2017, vol. 46, issue 1, 354-372

Abstract: Change point monitoring for distributional changes in time-series models is an important issue. In this article, we propose two monitoring procedures to detect distributional changes of squared residuals in GARCH models. The asymptotic properties of our monitoring statistics are derived under both the null of no change in distribution and the alternative of a change in distribution. The finite sample properties are investigated by a simulation.

Date: 2017
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DOI: 10.1080/03610926.2014.995819

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