ICSS test on standardized GARCH residuals for parameter stability

Discussion of models with structural breaks or endogenous switching.
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jimm306
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Joined: Sun Apr 11, 2021 4:31 pm

ICSS test on standardized GARCH residuals for parameter stability

Unread post by jimm306 »

Hi,

I have daily stock returns and I am considering applying the ICSS test to standardized residuals from a fitted GARCH model. Would this be methodologically appropriate if the goal is to detect variance breaks and then examine whether the model parameters change across the regimes defined by those breaks?

Thanks
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