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A CUSUMSQ test for structural breaks in error variance for a long memory heterogeneous autoregressive model
- Authors
- Hwang, Eunju; Shin, Dong Wan
- Issue Date
- Apr-2015
- Publisher
- ELSEVIER SCIENCE BV
- Keywords
- HAR model; Long-memory; Parameter constancy; Realized volatility; Structural break
- Citation
- STATISTICS & PROBABILITY LETTERS, v.99, pp.167 - 176
- Journal Title
- STATISTICS & PROBABILITY LETTERS
- Volume
- 99
- Start Page
- 167
- End Page
- 176
- ISSN
- 0167-7152
- Abstract
- For testing error variance instability, a test based on CUSUM squares of the residuals in HAR model is constructed and its limiting null distribution is derived to be a simple function of the standard Brownian bridge. A finite sample Monte-Carlo experiment shows reasonable size and power performances of the proposed test. The test is applied to the log-return realized volatilities of some stock price index and exchange rate to find evidence for variance instability after adjusting long-memories. (C) 2015 Elsevier B.V. All rights reserved.
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Related Researcher
- Hwang, Eun Ju
- Social Sciences (Department of Applied Statistics)