摘要
本文研究GARCH模型参数变化的检验问题.给出残量累积和统计量,在原假设下得到了统计量的极限分布;模拟结果表明残量检验可以弥补Kim,Cho和Lee(2000)提出的平方累积和检验的某些不足,比如经验势函数值过低的问题.
This paper studies the problem of testing for parameter change in GARCH models. We proposed residual cumulative sum test statistic and obtained the limiting distribution of test statistic under null hypothesis. The results of a simulation study show that the residual cumulative test can offset the drawbacks, such as low powers of the squares cumulative sum test proposed by Kim, Cho and Lee （2000） and the test is also applied to real data analysis.
出处
《应用概率统计》
CSCD
北大核心
2008年第2期113-122,共10页
Chinese Journal of Applied Probability and Statistics
基金
国家自然科学基金资助(60375003)
航空科学资助(03153059)
