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http://hdl.handle.net/11701/17785
Полная запись метаданных
Поле DC | Значение | Язык |
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dc.contributor.author | Borzykh, Dmitriy A. | - |
dc.contributor.author | Yazykov, Artem A. | - |
dc.date.accessioned | 2020-05-22T15:11:43Z | - |
dc.date.available | 2020-05-22T15:11:43Z | - |
dc.date.issued | 2020-03 | - |
dc.identifier.citation | Borzykh D.A., Yazykov A.A. On the practical applicability of three CUSUM-methods for structural breaks detection in EGARCH-models. Vestnik of Saint Petersburg University. Applied Mathematics. Computer Science. Control Processes, 2020, vol. 16, iss. 1, pp. 19–30. | en_GB |
dc.identifier.other | https://doi.org/10.21638/11701/spbu10.2020.102 | - |
dc.identifier.uri | http://hdl.handle.net/11701/17785 | - |
dc.description.abstract | There are three well-known CUSUM-methods of structural breaks detection for standard GARCH-models in the literature: (Inclґan, Tiao, 1994), (Kokoszka, Leipus, 1999) and (Lee, Tokutsu, Maekawa, 2004). Despite the fact that these algorithms were initially developed for standard GARCH-models, there are theoretical arguments that CUSUM-methods can be applied to EGARCH-models. What is more, one can find empirical research which uses these methods to detect structural breaks in real-time series volatility. However, we have not found any numeric experiments which would prove the applicability of CUSUM-methods for EGARCH-models so far. We are not aware of any controlled experiments conducted in order to verify the applicability of these methods for EGARCH-models. This article adds to the existing literature in the following way. We first generate volatility series which possess EGARCH-model with known structural breaks. Then we run simulations and show that CUSUM-methods are weak in detecting structural breaks on medium size samples which are close to real ones. We conclude that the applicability of these methods on EGARCH-models is limited. Therefore, we suggest a hybrid algorithm which is able to improve the performance of CUSUM-methods when detecting structural breaks in all EGARCH-models. | en_GB |
dc.description.sponsorship | The reported study was funded by RFBR according to the research project N 19-31-90169. | en_GB |
dc.language.iso | ru | en_GB |
dc.publisher | St Petersburg State University | en_GB |
dc.relation.ispartofseries | Vestnik of St Petersburg University. Applied Mathematics. Computer Science. Control Processes;Volume 16; Issue 1 | - |
dc.subject | EGARCH | en_GB |
dc.subject | volatility | en_GB |
dc.subject | change points | en_GB |
dc.subject | structural breaks | en_GB |
dc.subject | CUSUM | en_GB |
dc.title | On the practical applicability of three CUSUM-methods for structural breaks detection in EGARCH-models | en_GB |
dc.type | Article | en_GB |
Располагается в коллекциях: | Issue 1 |
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Файл | Описание | Размер | Формат | |
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19-30.pdf | 297,54 kB | Adobe PDF | Просмотреть/Открыть |
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