Sequential change point detection in ARMA-GARCH models

Junmo Song; Jiwon Kang

doi:10.1080/00949655.2020.1734807

Sequential change point detection in ARMA-GARCH models

Junmo Song, Jiwon Kang

Jeju National University

Research output: Contribution to journal › Article › peer-review

8 Scopus citations

Abstract

This study investigates a sequential procedure to detect changes in the parameter of ARMA-GARCH models. Following the test procedure by Berkes et al. [Sequential change-point detection in GARCH(p,q) models. Econ Theory. 2004;20:1140–1167], we introduce a stopping time for monitoring procedure based on quasi-likelihood score function of ARMA-GARCH model. The asymptotic properties of the monitoring procedure are established under the null and alternative hypotheses. We demonstrate the validity of the test procedure through simulation study. A real data application is provided for illustration.

Original language	English
Pages (from-to)	1520-1538
Number of pages	19
Journal	Journal of Statistical Computation and Simulation
Volume	90
Issue number	8
DOIs	https://doi.org/10.1080/00949655.2020.1734807
State	Published - 23 May 2020

Keywords

ARMA-GARCH models
score based test
sequential change detection
Sequential test for parameter change

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10.1080/00949655.2020.1734807

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abstract = "This study investigates a sequential procedure to detect changes in the parameter of ARMA-GARCH models. Following the test procedure by Berkes et al. [Sequential change-point detection in GARCH(p,q) models. Econ Theory. 2004;20:1140–1167], we introduce a stopping time for monitoring procedure based on quasi-likelihood score function of ARMA-GARCH model. The asymptotic properties of the monitoring procedure are established under the null and alternative hypotheses. We demonstrate the validity of the test procedure through simulation study. A real data application is provided for illustration.",

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AB - This study investigates a sequential procedure to detect changes in the parameter of ARMA-GARCH models. Following the test procedure by Berkes et al. [Sequential change-point detection in GARCH(p,q) models. Econ Theory. 2004;20:1140–1167], we introduce a stopping time for monitoring procedure based on quasi-likelihood score function of ARMA-GARCH model. The asymptotic properties of the monitoring procedure are established under the null and alternative hypotheses. We demonstrate the validity of the test procedure through simulation study. A real data application is provided for illustration.

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Sequential change point detection in ARMA-GARCH models

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