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| GARCH(1,1)模型参数的多变点检验 | |
| 引用本文： | 杨文杰,孙小军,李艳平.GARCH(1,1)模型参数的多变点检验[J].宁夏大学学报(自然科学版),2009,30(4). |
| 作者姓名： | 杨文杰 孙小军 李艳平 |
| 作者单位： | 1. 陕西科技大学,理学院,陕西,西安,710021 2. 宝鸡文理学院,数学系,陕西,宝鸡,721013 3. 陕西师范大学,数学与信息科学学院,陕西,西安,710062 |
| 基金项目： | 国家自然科学基金资助项目，陕西科技大学自选项目 |
| 摘 要： | 研究广义自回归条件异方差(GARCH)模型的多变点检验问题.基于残量累积和(RCUSUM)构造拟似然比检验统计量,对GARCH(1,1)模型中变点的个数和位置都未知的多变点进行检验.在上述过程中同时得到变点个数与位置的估计,并且证明了变点个数估计的一致性.数值模拟表明文中的方法是有效的. |
| 关 键 词： | GARCH(1 1)模型 残差分布 Brown桥 残量累积和 |
Testing for Multiple Change-Point in GARCH Models |
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| Yang Wenjie,Sun Xiaojun,Li Yanping.Testing for Multiple Change-Point in GARCH Models[J].Journal of Ningxia University(Natural Science Edition),2009,30(4). | |
| Authors: | Yang Wenjie Sun Xiaojun Li Yanping |
| Institution: | Yang Wenjie1; Sun Xiaojun2; Li Yanping3(1.School of Science; Shaanxi University of Science and Technology; Xi an 710021; China; 2.Department of Mathematics; Baoji College of Arts and Science; Baoji 721013; 3.School of Mathematics and Information Science; Shaanxi Normal University; Xi an 710062; China); |
| Abstract: | A test of multiple change-point in GARCH models is considered in this paper. A pseudo likelihood ratio test is proposed based on RCUSUM to test the change-points whose number and locations are unknown in GARCH (1,1) model. The number and locations of the change-points can also be estimated via the test procedure. The estimation of the number of change points is proved to be consistent. Simulations demonstrate the proposed test is powerful. |
| Keywords: | GARCH(1 GARCH(1 1) model residual distribution Brownian bridge RCUSUM |
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