Structural break test for GARCH?
Posted: 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!
Does anyone have a program for a structural break test (preferably CUSUM or LM-based) for ARCH/GARCH?
Thank you!