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Testing for changing volatility
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DOI：10.1111/ectj.12108.png)
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Abstract
En 中文
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.
Keywords:
Cross-validation
Nonparametric
U-statistic
Volatility changes
Journal
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7
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565
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