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Monitoring distributional changes of squared residuals in GARCH models |
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| Authors: | Fuxiao Li Zheng Tian Zhanshou Chen Peiyan Qi |
| Institution: | 1. Department of Applied Mathematics, Xi’an University of Technology, Xi’an, Shaanxi, P.R. China;2. State Key Laboratory of Remote Sensing Science, Chinese Academy of Science, Beijing, P.R. China;3. Department of Mathematics, Qinghai Normal University, Xining, Qinghai, P.R. China |
| 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. |
| Keywords: | Change point monitoring Distributional changes of squared residuals GARCH model |