A Semiparametric Approach to the Detection of Change-points in Volatility Dynamics of Financial Data
金融数据波动动态变点检测的半参数方法
One of the most important features of financial time series data is volatility. There are often structural changes in volatility over time, and an accurate estimation of the volatility of financial time series requires careful identification of change-points. A common approach to modeling the volatility of time series data is the well-known GARCH model. Although the problem of change-point estimation of volatility dynamics derived from the GARCH model has been considered in…