Abstract
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.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
