Monitoring parameter change for time series models with conditional heteroscedasticity

- We consider the sequential monitoring method based on the CUSUM of score functions.
- Our findings in the simulation study support the validity of our monitoring method.
- The proposed method is recommendable particularly when one aims to detect a change for one specific parameter in GARCH-type models.

This paper studies the monitoring procedure to detect a parameter change in GARCH-type models based on the cumulative sum (CUSUM) of score functions as in Gombay and Serban (2009). For illustration, a simulation study is carried out for asymmetric GARCH models.