Application of the Generalized Likelihood Ratio Test for Detecting Changes in the Mean of Multivariate GARCH Processes

Olha Bodnar

12 citations0/0 files storedCommunications in Statistics - Simulation and Computation

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Advanced Statistical Process Monitoring Financial Risk and Volatility Modeling Fault Detection and Control Systems

Abstract

We derive several multivariate control charts to monitor the mean vector of multi-variate GARCH processes under the presence of changes, by means of maximizing the generalized likelihood ratio. This presentation is rounded up by a comparative performance study based on extensive Monte Carlo simulations. An empirical illustration shows how the obtained results can be applied to real data.

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References

1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1991Conditional Heteroskedasticity in Asset Returns: A New Approach 2002Dynamic Conditional Correlation 1995Multivariate Simultaneous Generalized ARCH 1993Measuring and Testing the Impact of News on Volatility 1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model 1988A Capital Asset Pricing Model with Time-Varying Covariances

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