Optimal test for Markov switching GARCH models

Studies in Nonlinear Dynamics and Econometrics

Volumn 12, Issue 3, 2008, Pages

  Hu, Liang ^a   Shin, Yongcheol ^a  

^a UNIVERSITY OF LEEDS   (United Kingdom)

Author keywords

IGARCH; Markov switching GARCH; Monte Carlo simulations; Monthly returns; Optimal tests

Indexed keywords

EID: 55549134326     PISSN: 10811826     EISSN: 15583708     Source Type: Journal    
DOI: 10.2202/1558-3708.1528     Document Type: Article

References (40)

1. Andrews, D.W.K. and W. Ploberger (1994), "Optimal Tests When a Nuisance Parameter Is Present Only under the Alternative," Econometrica 62, 1383-1414.
2. Andrews, D.W.K. and W. Ploberger (1995), "Admissibility of the Likelihood Ratio Test when a Nuisance Parameter Is Present Only Under the Alternative", The Annals of Statistics 23, 1609-1629.
3. Bollerslev, T. (1986), "Generalized Autoregressive Conditional Heteroskedasticity", Journal of Econometrics 31, 307-327.
4. Brunetti, C., R.S. Mariano, C. Scotti and A.H.H. Tan (2003), "Markov Switching GARCH Models of Currency Crises in Southeast Asia", mimeo., University of Pennsylvania.
5. Busch, T. (2004), "A Robust LR test for the GARCH models", mimeo., University of Aarhus.
6. Cai, J. (1994), "A Markov Model of Unconditional Variance in ARCH", Journal of Business and Economic Statistics 12, 309-316.
7. Caporale, G. M, N. Pittis and N. Spagnolo (2003), "IGARCH models and structural breaks", Applied Economics Letters, Vol 10, Issue 12, 765-768.
8. Carrasco, M., L. Hu and W. Ploberger (2005), "Optimal Test for Markov Switching", mimeo., University of Rochester.
9. Chan, F. and M. McAleer (2002), "Maximum Likelihood Estimation of STAR and STAR-GARCH Models: Theory and Monte Carlo Evidence", Journal of Applied Econometrics 17, 509-534.
10. Chaudhuri, K. and F. Klaassen (2001), "Have East Asian Stock Markets Calmed Down? Evidence from a Regime-Switching Model", mimeo., University of Amsterdam.
11. Chesher, A. (1984), "Testing for Neglected Heterogeneity", Econometrica 52, 865-872.
12. Cox, D.R. and D. Miller (1965), The Theory of Stochastic Processes. Methuen & Co. Ltd.: London.
13. Davies, R.B. (1987), "Hypothesis Testing When a Nuisance Parameter Is Present Under the Alternative", Biometrika 74, 33-43.
14. Dueker, M. (1997), "Markov Switching in GARCH Processes and Mean-Reverting Stock-Market Volatility", Journal of Business and Economic Statistics 15, 26-34.
15. Engle, R.F. and V.K. Ng (1993), "Measuring and Testing the Impact of News on Volatility", Journal of Finance 48, 1749-1777.
16. Francq, C. and J.M. Zakoian (2001), "Stationary of Multivariate Markov-Switching ARMA Models", Journal of Econometrics 102, 339-364.
17. Garcia, R. (1998), "Asymptotic Null Distribution of the Likelihood Ratio Test in Markov Switching Models", International Economic Review 39, 763-788.
18. Glosten, L., R. Jagannathan and D. Runkle (1993), "On the Relation Between Expected Value and the Volatility of Nominal Excess Returns on Stocks", Journal of Finance 48, 1779-1901.
19. Gray, S. (1996), "Modeling the Conditional Distribution of Interest Rates as a Regime-Switching Process", Journal of Financial Economics 42, 27-62.
20. Haas, M., S.Mittnik and M. Paolella (2004), "A New Approach to Markov Switching GARCH Models", Journal of Financial Econometrics 2, 493-530.
21. Hagerud, G.E. (1997), "A Smooth Transition ARCH Model for Asset Returns", SSE/EFI Working Paper Series in Economics and Finance, No.162.
22. Hamilton, J.D. (1989), "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle", Econometrica 57, 357-384.
23. Hamilton, J. D and R. Susmel (1994), "ARCH and Changes in Regime", Journal of Econometrics 64, 307-333.
24. Hansen, B. E. (1996), "Inference When a Nuisance Parameter Is Not Identifed Under the Null Hypothesis", Econometrica 64, 414-30.
25. Halunga, A. and C.D. Orme (2005), "Misspecification Tests for GARCH Models", mimeo., University of Manchester.
26. Hillebrand, E. (2005), "Neglecting Parameter Changes in GARCH Models", Journal of Econometrics, 129, 121-138.
27. Jensen, S.T. and A. Rahbek (2004), "Asymptotic Normality of the QMLE Estimator of ARCH in the Nonstationary Case", Econometrica 72, 641-646.
28. Jensen, S.T. and A. Rahbek (2004), "Asymptotic Inference for Nonstationary GARCH", Econometric Theory, Vol. 20: 1203-1226
29. Lamoureux, C.G. and W.D. Lastrapes (1990), "Persistence in Variance, Structural Change and the GARCH Model", Journal of Business and Economic Statistics 8, 225-234.
30. Lee, S., Y. Tokutsu and K. Maekawa (2003), "The CUSUM Test for Parameter Change in GARCH(1,1) Models", mimeo., Seoul National University.
31. Lundbergh, S. and T. Teräsvirta (2002), "Evaluating GARCH models", Journal of Econometrics 110, 417-435.
32. Maekawa, K., S. Lee and Y. Tokutsu (2004), "A Note on Volatility Persistence and Structural Changes in GARCH Models", mimeo., Hiroshima University.
33. Mikosch, T. and C. Starica (2004), "Nonstationarities in Financial Time Series, the Long-range Dependence and the IGARCH Effects", Review of Economics and Statistics, 86, 378-390.
34. Perron, P. (1989), "The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis", Econometrica 57, 1361-1401.
35. Santana E. (1995), "Quadratic ARCH Models", Review of Economic Studies, Vol.62: 636-661.
36. Smith, D. (2006), "Testing for Structural Breaks in GARCH Models", mimeo., Simon Fraser University.
37. Tsay, R. (2002), Analysis of Financial Time Series, John Wiley & Sons, Inc.
38. White, H. (1982), "Maximum Likelihood Estimation of Misspecified Models", Econometrica 50, 1-25.
39. van der Vaart, A.W. (1998) Asymptotic Statistics, Cambridge University Press, Cambridge, UK.
40. Zakoian, J-M. (1994), "Threshold Heteroskedasticity Models", Journal of Economic Dynamics and Control 18, 931-955.