Abstract
In this paper EWMA charts and CUSUM charts are introduced for detecting changes in the variance of a GARCH process. The moments of the EWMA statistics are calculated. They permit a better understanding of the underlying control procedure. In an extensive simulation study all control schemes are compared with each other. “Optimal” smoothing parameters and “optimal” reference values are tabulated. It is shown how these charts can be applied to monitor stock market returns.
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