ABSTRACT This study investigates a sequential procedure to detect changes in the parameter of ARMA-GARCH models. Following the test procedure by Berkes et al. [Sequential change-point detection in GARCH(p,q) models. Econ Theory. 2004;20:1140–1167], we introduce a stopping time for monitoring procedure based on quasi-likelihood score function of ARMA-GARCH model. The asymptotic properties of the monitoring procedure are established under the null and alternative hypotheses. We demonstrate the validity of the test procedure through simulation study. A real data application is provided for illustration.

中文翻译：

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ARMA-GARCH 模型中的顺序变化点检测

摘要 本研究调查了检测 ARMA-GARCH 模型参数变化的顺序程序。遵循 Berkes 等人的测试程序。[GARCH(p,q) 模型中的顺序变化点检测。经济理论。2004;20:1140-1167]，我们介绍了基于 ARMA-GARCH 模型的准似然得分函数的监控程序的停止时间。监控程序的渐近特性是在零假设和替代假设下建立的。我们通过模拟研究证明了测试程序的有效性。提供了一个真实的数据应用程序进行说明。