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On the Cusum test for parameter changes in garch(1,1) Models |
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| Authors: | Soohwa Kim Sinsup Cho Sangyeol Lee |
| Affiliation: | Department of Mathematics , Seoul National University , Seoul, 151-742, Korea |
| Abstract: | This paper considers the problem of testing parameter constancy in GARCH(1,1) models. A cusum of squares test is propesed in analogy Of Incl´n and Tiao (1394)'s statistic. its limiting distribution is derived via using the invariance principle for mixingaie sequences obtained by McLeish(1975). Simulation results are illustrated to demonstrate the validity of the cusum test. |
| Keywords: | Analysis of variance James test limiting distri¬bution improvement on chi-squared approximation Cornish-Fisher expan |