GARCH(1,1)模型参数的多变点检验  

Testing for Multiple Change-Point in GARCH Models

作　　者：杨文杰[1] 孙小军[2] 李艳平[3] 

机构地区：[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

出　　处：《宁夏大学学报（自然科学版）》2009年第4期314-317,335,共5页Journal of Ningxia University(Natural Science Edition)

基　　金：国家自然科学基金资助项目(60473027);陕西科技大学自选项目(ZX08-28)

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.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.

关 键 词：GARCH(1 1)模型 残差分布 Brown桥 残量累积和 

分 类 号：O212.1[理学—概率论与数理统计]