Real time detection of structural breaks in GARCH models

@article{He2010RealTD,
  title={Real time detection of structural breaks in GARCH models},
  author={Zhongfang He and John M. Maheu},
  journal={Computational Statistics & Data Analysis},
  year={2010},
  volume={54},
  pages={2628-2640}
}
A sequential Monte Carlo method for estimating GARCH models subject to an unknown number of structural breaks is proposed. Particle filtering techniques allow for fast and efficient updates of posterior quantities and forecasts in real-time. The method conveniently deals with the path dependence problem that arises in these type of models. The performance… CONTINUE READING