A Note on Volatility Persistence and Structural Changes in GARCH Models
نویسندگان
چکیده
In this paper, we demonstrate that most of Tokyo stock return data sets have volatility persistence and it is due to a parameter change in underlying GARCH models. For testing for a parameter change, we use the cusum test, devised by Lee et al. (2003), based on the residuals from GARCH models. A simulation study shows that a parameter change in GARCH models can mislead analysts to choose an IGARCH model. We explain this phenomenon theoretically applying Hamilton (1994)’s idea.
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تاریخ انتشار 2003