The change-point problem and segmentation of processes with conditional heteroskedasticity

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Show simple item record Badagian Baharian, Ana Laura Kaiser Remiro, Regina Peña Sánchez de Rivera, Daniel
dc.contributor.editor Universidad Carlos III de Madrid. Departamento de Estadística 2013-06-05T14:59:50Z 2013-06-05T14:59:50Z 2013-06
dc.description.abstract In this paper we explore, analyse and apply the change-points detection and location procedures to conditional heteroskedastic processes. We focus on processes that have constant conditional mean, but present a dynamic behavior in the conditional variance and which can also be affected by structural changes. Thus, the goal is to explore, analyse and apply the change-point detection and estimation methods to the situation when the conditional variance of a univariate process is heteroskedastic and exhibits change-points. Based on the fact that a GARCH process can be expressed as an ARMA model in the squares of the variable, we propose to detect and locate change-points by using the Bayesian Information Criterion as an extension of its application in linear models. The proposed procedure is characterized by its computational simplicity, reducing difficulties of the change-point detection in the complex non-linear processes. We compare this procedure with others available in the literature, which are based on cusum methods (Inclán and Tiao (1994), Kokoszka and Leipus (1999), Lee et al. (2004)), informational approach (Fukuda, 2010), minimum description length principle (Davis and Rodriguez-Yam (2008)), and the time varying spectrum (Ombao et al (2002)). We compute the empirical size and power properties by Monte Carlo simulation experiments considering several scenarios. We obtained a good size and power properties in detecting even small magnitudes of change and for low levels of persistence. The procedures were applied to the S\&P500 log returns time series, in order to compare with the results in Andreou and Ghysels (2002) and Davis and Rodriguez-Yam (2008). Changepoints detected by the proposed procedure were similar to the breaks found by the other procedures, and their location can be related with the Southeast Asia financial crisis and with other known financial events.
dc.format.mimetype application/pdf
dc.language.iso eng
dc.relation.ispartofseries UC3M Working papers. Statistics and Econometrics
dc.relation.ispartofseries 13-18
dc.rights Atribución-NoComercial-SinDerivadas 3.0 España
dc.subject.other Heteroskedastic time series
dc.subject.other Segmentation
dc.subject.other Change-points
dc.title The change-point problem and segmentation of processes with conditional heteroskedasticity
dc.type workingPaper
dc.subject.eciencia Estadística
dc.rights.accessRights openAccess
dc.type.version submitedVersion
dc.identifier.repec ws131718
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