Monitoring multivariate variance changes Articles uri icon

publication date

  • December 2016

start page

  • 54

end page

  • 68

volume

  • 39

international standard serial number (ISSN)

  • 0927-5398

electronic international standard serial number (EISSN)

  • 1879-1727

abstract

  • We propose a model-independent multivariate sequential procedure to monitor changes in the vector of componentwise unconditional variances in a sequence of p-variate random vectors. The asymptotic behavior of the detector is derived and consistency of the procedure stated. A detailed simulation study illustrates the performance of the procedure confronted with different types of data generating processes. We conclude with an application to the log returns of a group of DAX listed assets. (C) 2016 Elsevier Ltd. All rights reserved.

keywords

  • autoregressive conditional heteroskedasticity; structural-change; generalized arch; linear-models; series; volatility; multivariate sequences; online detection; threshold function; variance changes