Structural break test for GARCH?

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Vlad
Posts: 2
Joined: Mon Aug 08, 2011 9:13 pm

Structural break test for GARCH?

Postby Vlad » Tue Aug 09, 2011 8:10 am

Hi,

Does anyone have a program for a structural break test (preferably CUSUM or LM-based) for ARCH/GARCH?

Thank you!
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