| GARCH模型变点的Ratio检验 |
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| 引用本文： | 吕会琴,赵文芝. GARCH模型变点的Ratio检验[J]. 纯粹数学与应用数学, 2015, 0(4): 422-431. DOI: 10.3969/j.issn.1008-5513.2015.04.011 |
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| 作者姓名： | 吕会琴 赵文芝 |
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| 作者单位： | 西安工程大学理学院,陕西 西安,710048 |
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| 基金项目： | 陕西省教育厅科研计划项目 |
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| 摘 要： | 研究GARCH模型参数变点的Ratio检验.首先构造了基于残量累积平方和的Ratio统计量,推导了原假设下统计量的极限分布,其次采用Monte Carlo方法检验其有效性,最后以数据为例进一步说明该方法的实用性.
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| 关 键 词： | Ratio检验 GARCH模型 变点 |
Ratio test to detect change point in GARCH model |
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| Abstract: | This paper analyzes Ratio tests to detect a change of parameters in GARCH process. The ratio test statistic is based on residual cumulative sum functionals. Under the null hypothesis the asymptotically limiting distribution of the statistic is obtained. Then a Monte Carlo simulation is used for testing the validity. Finally, the real data is used to verify the applicability. The results from both simulation and real data analysis support our argument. |
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| Keywords: | Ratio test GARCH model change point |
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