Testing for a Change of the Innovation Distribution in an Arch Model

Katchekpelea, Edoh; Gneyoub, Kossi Essona; Kpanzou, Tchilabalo Abozou

doi:10.17654/ts059010023

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2021

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“…Irungu et al (2018) have proposed a change-point estimator based on Mahanttan distance. Katchekpele et al (2020) developped a Cramér-von Mises (C.V.M. )-type test for a change-point detection in residuals of an ARCH model.…”

Section: Introductionmentioning

confidence: 99%

Change-point detection: application of Cusum method to real life data

Katchekpele¹,

Kpanzou²,

Ouédraogo³

2021

ajas

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Several procedures have been developed for the detection of abrupt changes in time series. Among these procedures, it can be mentioned the Cumulative Sum (Cusum) type method. It is in such a perspective that Katchekpele et al. (2017) proposed a method using a Cusum type test to detect a change-point in the unconditional variance of the generalised autoregressive conditional heteroskedasticity(GARCH) models. The aim of this paper is to present an application of their technique. After briefly recalling how the test statistic was constructed, the change-point detection algorithm is given and it is shown how it is applied to some real life data.

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Section: Introductionmentioning

confidence: 99%