Hybrid CUSUM Change Point Test for Time Series with Time-varying Volatilities based on Support Vector Regression

Hybrid CUSUM Change Point Test for Time Series with Time-varying Volatilities based on Support Vector Regression

This study considers the problem of detecting a change in the conditional variance of time series with time-varying volatilities based on the cumulative sum (CUSUM) of squares test using the residuals from support vector regression (SVR)-generalized autoregressive conditional heteroscedastic (GARCH)...

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Bibliographic Details
Main Authors: Sangyeol Lee, Chang Kyeom Kim, Sangjo Lee
Format: Article
Language:English
Published: MDPI AG 2020-05-01
Series:Entropy
Subjects:
GARCH time series
change point detection
CUSUM of squares test
support vector regression
machine learning
Online Access:https://www.mdpi.com/1099-4300/22/5/578

Internet

https://www.mdpi.com/1099-4300/22/5/578

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