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.
出处
《纺织高校基础科学学报》
CAS
2017年第1期63-68,共6页
Basic Sciences Journal of Textile Universities
基金
陕西省教育厅科研计划资助项目(213JK0592)
