| GARCH模型参数变化的残量检验 |
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| 引用本文： | 韩四儿,田铮,王红军. GARCH模型参数变化的残量检验[J]. 应用概率统计, 2008, 24(2): 113-122 |
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| 作者姓名： | 韩四儿 田铮 王红军 |
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| 作者单位： | 1. 西北工业大学应用数学系,西安,710072
2. 西北工业大学应用数学系,西安,710072;中国科学院遥感应用研究所遥感科学国家重点实验室,北京,100101 |
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| 基金项目： | 国家自然科学基金 , 航空科研项目 |
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| 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)ucite{1}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.
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| 关 键 词： | 累积和检验 GARCH过程 Brown桥 |
| 修稿时间： | 2004-02-18 |
The Residual Test for Parameters Change in GARCH Models |
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| HAN SIER,TIAN ZHENG,WANG HONGJUN. The Residual Test for Parameters Change in GARCH Models[J]. Chinese Journal of Applied Probability and Statisties, 2008, 24(2): 113-122 |
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| Authors: | HAN SIER TIAN ZHENG WANG HONGJUN |
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| Affiliation: | Department of Mathematics, Northwestern Polytechnical University, State Key Laboratory of Remote Sensing Science, Jointly Sponsored by the Institute of Remote Sensing Applications of Chinese Academy of Sciencesand Beijing Normal University |
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| Abstract: | 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)[1] and the test is also applied to real data analysis. |
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| Keywords: | Cumulative sum test GARCH process Brown bridge |
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