It is well known that the distributions of assets returns have heavier tails than the Gaussian's. To capture such a distributional characteristic, the Generalized Hyperbolic(GH) distribution and its subclasses have been applied to assets returns as the distribution with heavier tails. GH...

In this paper, we concentrate ourselves on Inclán and Tiao (1994)'s cusum test in regression models with ARCH errors. The ARCH and GARCH models have long been popular in financial time series analysis. For a general review, see Gouriéroux (1997).Inclán and Tiao (1994)'s cusum test was...