변동성 변화와 장기억성을 구분하는 CUSUM 검정통계량에 대한 실증분석 = A Numerical Study on CUSUM Test for Volatility Shifts Against Long-Range Dependence

다국어 초록 (Multilingual Abstract)

Persistence is one of the typical characteristics appearing in the volatility of financial time series. According to the recent researches, the volatility persistence may be due to either volatility shifts or long-range dependence. In this paper, we consider residual-based CUSUM tests to distinguish volatility persistence, long-range dependence and volatility shifts in GARCH models. It is observed that this test procedure achieve reasonable powers without a size distortion. Moreover, we employ AIC and BIC criteria to estimate the change points and the number of change points in volatility. We demonstrate the superiority of residual-based CUSUM tests on various Monte Carlo simulations and empirical data analysis.

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