Robust monitoring conditional volatility change for time series based on support vector regression

• Published in: Communications in statistics. Simulation and computation Vol. 54; no. 6; pp. 2201 - 2220
• Main Authors: Yoon, Min Hyeok, Kim, Chang Kyeom, Lee, Sangyeol
• Format: Journal Article
• Language: English
• Published: Taylor & Francis 03.06.2025
• Subjects: Asymmetric huber SVR; CUSUM monitoring; Nonlinear GARCH time series; Robust method; Statistical process control

This study considers a robust monitoring procedure aimed at detecting an anomaly of conditional volatility from sequentially observed time series following a (nonlinear) generalized autoregressive conditional heteroscedastic (GARCH) model. We employ a specifically designed cumulative sum (CUSUM) met...