Abstract
We examine CUSUM-type test for detecting changes in unconditional variance within Bilinear GARCH models. We derive the asymptotic distribution of the test statistic under both null and alternative hypotheses and assess test effectiveness in identifying single structural breaks. Simulation studies support our theoretical results and demonstrate the practical utility of the test.
Recommended Citation
Katchekpele, Edoh; Kâ Diongue, Abdou; and Kouassi, Ben Célestin
(2025).
(R2130) CUSUM-test for Unconditional Variance Change Detection in Bilinear GARCH Models,
Applications and Applied Mathematics: An International Journal (AAM), Vol. 20,
Iss.
2, Article 8.
Available at:
https://digitalcommons.pvamu.edu/aam/vol20/iss2/8
COinS