¿Stability tests (or constancy tests) on GARCH?

[rosa1rio]

I was wondering if any of you know or have a RATS procedure, program or routine
to carry out structural stability tests (or constancy tests) on GARCH
models (for example, as that one proposed by Lundberg and Terasvirta, 2002)?

[TomDoan]

You can do a Nyblom fluctuations test using the procedure @FLUX. You save the derivatives using the DERIVES option on GARCH, then apply the FLUX procedure to them.

Code: Select all

open data garch.asc
data(format=free,org=columns) 1 1867 bp cd dm jy sf
*
set dlogdm = 100*log(dm/dm{1})
*
* Estimates ARCH(6) model. Tests for stability.
*
garch(p=0,q=6,hseries=hh06,derives=dd) / dlogdm
@flux
# dd