Journal of the Korean Data and Information Science Society

The Korean Data and Information Science Society (한국데이터정보과학회)
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Testing the exchange rate data for the parameter change based on ARMA-GARCH model

  • Song, Junmo (Department of Computer Science and Statistics, Jeju National University) ;
  • Ko, Bangwon (Department of Statistics and Actuarial Science, Soongsil University)
  • Received : 2013.08.08
  • Accepted : 2013.11.14
  • Published : 2013.11.30
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Abstract

In this paper, we analyze the Korean Won/Japanese 100 Yen exchange rate data based on the ARMA-GARCH model, and perform the test for detecting the parameter changes. As a test statistics, we employ the cumulative sum (CUSUM) test for ARMA-GARCH model, which is introduced by Lee and Song (2008). Our empirical analysis indicates that the KRW/JPY exchange rate series experienced several parameter changes during the period from January 2000 to December 2012, which leads to a fitting of AR-IGARCH model to the whole series.

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References

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