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http://dx.doi.org/10.7465/jkdi.2013.24.6.1551

Testing the exchange rate data for the parameter change based on ARMA-GARCH model  

Song, Junmo (Department of Computer Science and Statistics, Jeju National University)
Ko, Bangwon (Department of Statistics and Actuarial Science, Soongsil University)
Publication Information
Journal of the Korean Data and Information Science Society / v.24, no.6, 2013 , pp. 1551-1559 More about this Journal
Abstract
In this paper, we analyze the Korean Won/Japanese 100 Yen exchange rate data based on the ARMA-GARCH model, and perform the test for detecting the parameter changes. As a test statistics, we employ the cumulative sum (CUSUM) test for ARMA-GARCH model, which is introduced by Lee and Song (2008). Our empirical analysis indicates that the KRW/JPY exchange rate series experienced several parameter changes during the period from January 2000 to December 2012, which leads to a fitting of AR-IGARCH model to the whole series.
Keywords
ARMA-GARCH model; CUSUM test; exchange rate data; IGARCH model; parameter change;
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Times Cited By KSCI : 2  (Citation Analysis)
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