title: On the practical applicability of three CUSUM-methods for structural breaks detection in EGARCH-models
metadata.name: dc.contributor.author
metadata.value: Borzykh, Dmitriy A.
metadata.lang: -
metadata.name: dc.contributor.author
metadata.value: Yazykov, Artem A.
metadata.lang: -
metadata.name: dc.date.accessioned
metadata.value: 2020-05-22T15:11:43Z
metadata.lang: -
metadata.name: dc.date.available
metadata.value: 2020-05-22T15:11:43Z
metadata.lang: -
metadata.name: dc.date.issued
metadata.value: 2020-03
metadata.lang: -
metadata.name: dc.identifier.citation
metadata.value: Borzykh D.A., Yazykov A.A. On the practical applicability of three CUSUM-methods for structural breaks detection in EGARCH-models. Vestnik of Saint Petersburg University. Applied Mathematics. Computer Science. Control Processes, 2020, vol. 16, iss. 1, pp. 19–30.
metadata.lang: en_GB
metadata.name: dc.identifier.other
metadata.value: https://doi.org/10.21638/11701/spbu10.2020.102
metadata.lang: -
metadata.name: dc.identifier.uri
metadata.value: http://hdl.handle.net/11701/17785
metadata.lang: -
metadata.name: dc.description.abstract
metadata.value: There are three well-known CUSUM-methods of structural breaks detection for standard
  GARCH-models in the literature: (Inclґan, Tiao, 1994), (Kokoszka, Leipus, 1999) and (Lee,
  Tokutsu, Maekawa, 2004). Despite the fact that these algorithms were initially developed
  for standard GARCH-models, there are theoretical arguments that CUSUM-methods can
  be applied to EGARCH-models. What is more, one can find empirical research which uses
  these methods to detect structural breaks in real-time series volatility. However, we have not
  found any numeric experiments which would prove the applicability of CUSUM-methods
  for EGARCH-models so far. We are not aware of any controlled experiments conducted in
  order to verify the applicability of these methods for EGARCH-models. This article adds to
  the existing literature in the following way. We first generate volatility series which possess
  EGARCH-model with known structural breaks. Then we run simulations and show that
  CUSUM-methods are weak in detecting structural breaks on medium size samples which are
  close to real ones. We conclude that the applicability of these methods on EGARCH-models
  is limited. Therefore, we suggest a hybrid algorithm which is able to improve the performance
  of CUSUM-methods when detecting structural breaks in all EGARCH-models.
metadata.lang: en_GB
metadata.name: dc.description.sponsorship
metadata.value: The reported study was funded by RFBR according to the research project N 19-31-90169.
metadata.lang: en_GB
metadata.name: dc.language.iso
metadata.value: ru
metadata.lang: en_GB
metadata.name: dc.publisher
metadata.value: St Petersburg State University
metadata.lang: en_GB
metadata.name: dc.relation.ispartofseries
metadata.value: Vestnik of St Petersburg University. Applied Mathematics. Computer Science. Control Processes;Volume 16; Issue 1
metadata.lang: -
metadata.name: dc.subject
metadata.value: EGARCH
metadata.lang: en_GB
metadata.name: dc.subject
metadata.value: volatility
metadata.lang: en_GB
metadata.name: dc.subject
metadata.value: change points
metadata.lang: en_GB
metadata.name: dc.subject
metadata.value: structural breaks
metadata.lang: en_GB
metadata.name: dc.subject
metadata.value: CUSUM
metadata.lang: en_GB
metadata.name: dc.title
metadata.value: On the practical applicability of three CUSUM-methods for structural breaks detection in EGARCH-models
metadata.lang: en_GB
metadata.name: dc.type
metadata.value: Article
metadata.lang: en_GB
resources.filename: 19-30.pdf
resources.url: https://dspace.spbu.ru/bitstream/11701/17785/3/19-30.pdf
resources.format: Adobe PDF
resources.size: 297,54 kB