The Residual Cusum Test for the Constancy of Parameters in GARCH(1,1) Models
نویسندگان
چکیده
In this paper we consider the problem of testing for a parameter change in GARCH(1,1) models based on the residual cusum test. The test appears to circumvent the drawbacks, such as size distortions and low powers of the cusum of squares test proposed by Kim, Cho and Lee (2000). It is shown that the proposed test statistic has a limiting distribution of the sup of a standard Brownian bridge. A simulation study supports the validity of our test, and the test is applied to the return of Foreign Exchange rate data (Japanese yen/U.S. dollars). Subtitle: Residual cusum test
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