Testing for changing volatility

IF 2.9 4区经济学 Q1 ECONOMICS

Econometrics Journal Pub Date : 2017-11-14 DOI:10.1111/ectj.12108

Jilin Wu, Zhijie Xiao

引用次数: 5

Abstract

In this paper, we propose a consistent U-statistic test with good sampling properties to detect changes in volatility. We show that the test has a limiting standard normal distribution under the null hypothesis, and that it is powerful compared with various alternatives. A Monte Carlo experiment is conducted to highlight the merits of the proposed test relative to other popular tests for structural changes in volatility. An empirical example is examined to demonstrate the practical application of the proposed testing method.

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波动性变化测试

在本文中，我们提出了一种具有良好采样特性的一致U-统计量检验来检测波动率的变化。我们证明了该测试在零假设下具有极限标准正态分布，并且与各种替代方案相比，它是强大的。进行了蒙特卡罗实验，以突出所提出的测试相对于其他流行的波动率结构变化测试的优点。通过实例验证了该测试方法的实际应用。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Econometrics Journal 管理科学-数学跨学科应用

CiteScore

4.20

自引率

5.30%

发文量

审稿时长

>12 weeks

期刊介绍： The Econometrics Journal was established in 1998 by the Royal Economic Society with the aim of creating a top international field journal for the publication of econometric research with a standard of intellectual rigour and academic standing similar to those of the pre-existing top field journals in econometrics. The Econometrics Journal is committed to publishing first-class papers in macro-, micro- and financial econometrics. It is a general journal for econometric research open to all areas of econometrics, whether applied, computational, methodological or theoretical contributions.