Testing for parameter constancy in GARCH(p,q) models

We propose a test for a change in the parameters of a GARCH(p,q) model. The test is based on approximate likelihood scores and does not require the observations to have finite variance. We show that the test has asymptotically correct size under weak assumptions on model errors.

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Year of publication:	2004
Authors:	Berkes, Istvan ; Horváth, Lajos ; Kokoszka, Piotr
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 70.2004, 4, p. 263-273
Publisher:	Elsevier
Keywords:	Change in parameters GARCH model Likelihood scores

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005313909