Monitoring parameter change for time series models with conditional heteroscedasticity

摘要

This paper studies the monitoring procedure to detect a parameter change in GARCH-type models based on the cumulative sum (CUSUM) of score functions as in Gombay and Serban (2009). For illustration, a simulation study is carried out for asymmetric GARCH models. (C) 2017 Elsevier B.V. All rights reserved.