What is the standard test for checking against potential structural breaks in log return data and realized variance that is used for GARCH modeling?

There appears to be a range of different CUSUM and LM tests available but I cannot seem to figure out which ones are the most commonly used? Or is there perhaps some other test that should be used instead? Is there an R package for this test?

Would a test for structural breaks in this setting have to be done on both the mean and the realized variance or just either of them? Or possibly even on the residuals?

  • $\begingroup$ I do not have an answer, but a nice break detection technique is impulse indicator saturation due to David Hendry & Co. You may check it out. $\endgroup$ – Richard Hardy Mar 17 '17 at 10:34

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