Testing the exchange rate data for the parameter change based on ARMA-GARCH model

초록

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 param-eter 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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