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• W3026765513 abstract "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) models. To compute the residuals, we first fit SVR-GARCH models with different tuning parameters utilizing a time series of training set. We then obtain the best SVR-GARCH model with the optimal tuning parameters via a time series of the validation set. Subsequently, based on the selected model, we obtain the residuals, as well as the estimates of the conditional volatility and employ these to construct the residual CUSUM of squares test. We conduct Monte Carlo simulation experiments to illustrate its validity with various linear and nonlinear GARCH models. A real data analysis with the S&P 500 index, Korea Composite Stock Price Index (KOSPI), and Korean won/U.S. dollar (KRW/USD) exchange rate datasets is provided to exhibit its scope of application." @default.
• W3026765513 created "2020-05-29" @default.
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• W3026765513 date "2020-05-20" @default.
• W3026765513 modified "2023-09-26" @default.
• W3026765513 title "Hybrid CUSUM Change Point Test for Time Series with Time-Varying Volatilities Based on Support Vector Regression" @default.
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• W3026765513 doi "https://doi.org/10.3390/e22050578" @default.
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