GARCH(1,1)模型多变点的SupF检验

摘要

为研究GARCH(1,1)模型的多变点检验问题,将GARCH(1,1)模型的多变点检验问题转化为ARMA(1,1)模型的多变点检验问题,给出SupF检验统计量,在原假设下得到检验统计量的极限分布,并对GARCH(1,1)模型的多变点问题进行数值模拟.模拟结果表明了SupF检验的可行性.%To research the detection propblem of multiple change points in GARCH(1,1) model,the multiple change points in GARCH (1,1) model is changed into which in ARMA(1,1)model.The SupF test statistic is proposed,and the limiting distribution for test statistics is derived under null hypothesis.The situations in which multiple changes exist in GARCH (1,1)model is simulated,which shows the feasibility of the SupF test.