774
Views
15
CrossRef citations to date
0
Altmetric
Original Articles

Testing for structural breaks in GARCH models

Pages 845-862 | Published online: 03 Jun 2008

References

  • Andreou , E and Ghysels , E . 2002 . Detecting multiple breaks in financial market volatility dynamics . Journal of Applied Econometrics , 17 : 579 – 600 .
  • Andrews , DWK . 1993 . Tests for parameter instability and structural change with unknown change point . Econometrica , 61 : 821 – 56 .
  • Andrews , DWK and Ploberger , W . 1994 . Optimal tests when a nuisance parameter is present only under the alternative . Econometrica , 62 : 1383 – 414 .
  • Black , F . 1976 . Studies of stock price volatility changes . Proceedings of the Business and Economic Statistical Section, American Statistical Association , : 177 – 81 .
  • Bollerslev , T . 1987 . A conditional heteroskedastic time series model for speculative prices and rates of return . Review of Economics and Statistics , 69 : 542 – 7 .
  • Bollerslev , T , Chou , RY and Kroner , KF . 1992 . GARCH modelling in finance . Journal of Econometrics , 52 : 5 – 59 .
  • Brenner , RJ , Harjes , R and Kroner , R . 1996 . Another look at models of short term interest rates . Journal of Financial and Quantitative Analysis , 31 : 85 – 107 .
  • Carrasco , M and Chen , X . 2001 . Mixing and moment properties of various garch and stochastic volatility models . Econometric Theory , 18 : 17 – 39 .
  • Christie , AA . 1982 . The stochastic behavior of common stock variances: value, leverage, and interest rate effects . Journal of Financial Economics , 19 : 407 – 32 .
  • Chu , CSJ . 1995 . Detecting parameter shift in GARCH models . Econometric Reviews , 14 : 241 – 66 .
  • Davies , RB . 1977 . Hypothesis testing when a nuisance parameter is present only under the alternative . Biometrika , 64 : 247 – 54 .
  • Davies , RB . 1987 . Hypothesis testing when a nuisance parameter is present only under the alternative . Biometrika , 74 : 33 – 43 .
  • Diebold , FX . 1986 . Testing for serial correlation in the presence of ARCH . Proceedings of the Business and Economic Statistics Section of the American Statistical Association , : 323 – 8 .
  • Dueker , MJ . 1997 . Markov switching in GARCH processes and mean-reverting stock-market volatility . Journal of Business and Economic Statistics , 15 : 26 – 35 .
  • Engle , RF and Bollerslev , T . 1986 . Modelling the persistence of conditional variances . Econometric Reviews , 5 : 1 – 50 .
  • Engle , RF and Ng , VK . 1993 . Measuring and testing the impact of news on volatility . Journal of Finance , 48 : 1749 – 78 .
  • Ghysels , E and Hall , A . 1990 . Are consumption-based intertemporal capital asset pricing models structural? . Journal of Econometrics , 45 : 121 – 40 .
  • Glosten , LR , Jagannathan , R and Runkle , DE . 1993 . On the relation between expected value and the volatility of the nominal excess return on stocks . Journal of Finance , 48 : 1779 – 801 .
  • Gray , SF . 1996 . Modeling the conditional distribution of interest rates as a regime-switching process . Journal of Financial Economics , 42 : 27 – 62 .
  • Haas , M , Stefan , M and Paolella , MS . 2004 . A new approach to makov-switching GARCH models . Journal of Financial Econometrics , 2 : 493 – 530 .
  • Hall , AR , Atsushi , I and Peixe , FPM . 2003 . Covariance matrix estimation and the limiting behavior of the overidentifying restrictions test in the presence of neglected structural instability . Econometric Theory , 19 : 962 – 83 .
  • Hamilton , JD . 1994 . Time Series Analysis , Princeton, , USA : Princeton University Press .
  • Hansen , BE . 1996 . Erratum: the likelihood ratio test under nonstandard conditions: testing the markov-switching model of GNP . Journal of Applied Econometrics , 11 : 195 – 8 .
  • Hansen , BE . 1997 . Approximate asymptotic P values for structural-change tests . Journal of Business and Economic Statistics , 15 : 60 – 7 .
  • Hansen , PR and Lunde , A . 2001 . A forecast comparison of volatility models: does anything beat a GARCH(1,1)?, Working Paper, 01-04 Department of Economics , Brown University .
  • Hansen , PR and Lunde , A . 2005 . A forecast comparison of volatility models: does anything beat a GARCH(1,1)? . Journal of Applied Econometrics , 20 : 873 – 89 .
  • He , C and Terasvirta , T . 1999 . Fourth moment structure of the GARCH(p,q) Process . Econometric Theory , 15 : 824 – 46 .
  • Inclán , C and Tiao , GC . 1992 . Use of cumulative sums of squares for retrospective detection of change of variance . Journal of the American Statistical Association , 89 : 913 – 23 .
  • Klaassen , F . 2002 . Improving GARCH volatility forecasts with regime-switching GARCH . Empirical Economics , 27 : 363 – 94 .
  • Kokoszka , P and Leipus , R . 1998 . Change-point in the mean of dependent observations . Statistics and Probability Letters , 40 : 385 – 93 .
  • Kokoszka , P and Leipus , R . 2000 . Change-point estimation in ARCH models . Bernoulli , 6 : 1 – 28 .
  • Lamoureux , CG and Lastrapes , WD . 1990 . Persistence in variance, structural change and the GARCH model . Journal of Business and Economic Statistics , 8 : 225 – 34 .
  • Lin , SJ and Yang , J . 1999 . “ Testing Shifts in Financial Models with Conditional Heteroscedasticity: an Empirical Distribution Function Approach, Working Paper ” . In 30 Quantitative Finance Research Group , Sydney : University of Technology .
  • Lundbergh , S and Terasvirta , T . 2002 . Evaluating GARCH models . Journal of Econometrics , 110 : 417 – 35 .
  • Malik , F . 2003 . Sudden changes in Variance and volatility persistence in foreign exchange markets . Journal of Multinational Financial Management , 13 : 217 – 30 .
  • Nelson , D . 1991 . Conditional heteroscedasticity in stock returns: a new approach . Econometrica , 59 : 347 – 70 .
  • Pérignon , C and Smith , DR . 2007 . Yield-factor volatility models . Journal of Banking and Finance , 31 : 3125 – 44 .
  • Wooldridge , JM . 1990 . A unified approach to robust, regression-based specification tests . Econometric Theory , 6 : 17 – 43 .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.