I'm writing my thesis and will sketch the scenario I try to research: I have data for my GARCH model from two periods. The input is the same, as is the length (1y). I want to compare both the outcome of both models (from different periods) to see if there's a significant change or difference between these 2 periods. The division is made by a historic occurrence.
The only thing I can find is comparisons of the best fit of types of GARCH models for 1 time series, which I'm not interested in. Who can help me provide how I can compare the outcomes in a meaninful way? Any literature? Thanks in advance!