Article2000

Change-Point Estimation in ARCH Models

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Financial Risk and Volatility Modeling Probability and Statistical Research Advanced Statistical Process Monitoring

Abstract

The paper studies the change-point problem and the cross-covariance function for ARCH models. Bounds for the cross-covariance function are derived and explicit formulae are obtained in special cases. Consistency of a cusum type change-point estimator is proved and its rate of convergence is established. A Hájek-Rényi type inequality is also proved. Results are obtained under weak moment assumptions.

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References

1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1992ARCH modeling in finance 1994Modelling of extremal events in insurance and finance 1994Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance 1996Statistical aspects of ARCH and stochastic volatility 1993Nonparametric Methods in Change-Point Problems 1994LEAST SQUARES ESTIMATION OF A SHIFT IN LINEAR PROCESSES

Cited by

2008Structural breaks and GARCH models of exchange rate volatility 2004SEQUENTIAL CHANGE-POINT DETECTION IN GARCH(p,q) MODELS 2014Extensions of some classical methods in change point analysis 2013Dynamic relationship between precious metals 2014Dependence of stock and commodity futures markets in China: Implications for portfolio investment 1998Change-point in the mean of dependent observations 2009Structural Breaks in Financial Time Series 2013Volatility persistence in crude oil markets

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