Find change points efficiently in GARCH(\(p\), \(q\)) models

fastcpd_garch() and fastcpd.garch() are wrapper functions of fastcpd() to find change points in GARCH(\(p\), \(q\)) models. The function is similar to fastcpd() except that the data is by default a one-column matrix or univariate vector and thus a formula is not required here.

Usage

fastcpd_garch(data, order = c(0, 0), ...)

fastcpd.garch(data, order = c(0, 0), ...)

Arguments

data

A numeric vector, a matrix, a data frame or a time series object.

order

A positive integer vector of length two specifying the order of the GARCH model.

...

Other arguments passed to fastcpd(), for example, segment_count.

Value

A fastcpd object.

See also

fastcpd()

Examples

# \donttest{
set.seed(1)
n <- 1501
sigma_2 <- rep(1, n + 1)
x <- rep(0, n + 1)
for (i in seq_len(750)) {
  sigma_2[i + 1] <- 20 + 0.8 * x[i]^2 + 0.1 * sigma_2[i]
  x[i + 1] <- rnorm(1, 0, sqrt(sigma_2[i + 1]))
}
for (i in 751:n) {
  sigma_2[i + 1] <- 1 + 0.1 * x[i]^2 + 0.5 * sigma_2[i]
  x[i + 1] <- rnorm(1, 0, sqrt(sigma_2[i + 1]))
}
result <- suppressWarnings(
  fastcpd.garch(x[-1], c(1, 1), include.mean = FALSE)
)
summary(result)
#> 
#> Call:
#> fastcpd.garch(data = x[-1], order = c(1, 1), include.mean = FALSE)
#> 
#> Change points:
#> 759 
#> 
#> Cost values:
#> 2034.494 736.2013 
#> 
#> Parameters:
#>      segment 1 segment 2
#> 1 7.982285e+01 1.3761900
#> 2 1.965442e-01 0.1254212
#> 3 7.275673e-13 0.3565612
plot(result)

# }