Structural breaks and GARCH models of exchange rate volatility
用样本内和样本外检验，发现1980-2005年间七种美元汇率回报序列的无条件方差存在结构性断点，导致GARCH模型不稳定；在实时预测中考虑断点能提高波动率预测精度，组合多种模型可进一步改善预测。
Abstract We investigate the empirical relevance of structural breaks for GARCH models of exchange rate volatility using both in‐sample and out‐of‐sample tests. We find significant evidence of structural breaks in the unconditional variance of seven of eight US dollar exchange rate return series over the 1980–2005 period—implying unstable GARCH processes for these exchange rates—and GARCH(1,1) parameter estimates often vary substantially across the subsamples defined by the structural breaks. We also find that it almost always pays to allow for structural breaks when forecasting exchange rate return volatility in real time. Combining forecasts from different models that accommodate structural breaks in volatility in various ways appears to offer a reliable method for improving volatility forecast accuracy given the uncertainty surrounding the timing and size of the structural breaks. Copyright © 2008 John Wiley & Sons, Ltd.