Testing For Multiple Structural Changes In ARCH Model

In this paper, we study the test whether there are multiple structural changes in the variance of ARCH model Through transforming ARCH model into AR model by some techniques, we change the question into testing whether there are multiple structural changes in mean of AR model. We give the test statistics and the estimator of the change point, and the asymptotic distribution of the test statistics. Further on, we makes simulation of the situations in which multiple structural changes exist in AR model and ARCH model. We analysis the effects of test statistics for one, two structural changes, and give their quantiles and empirical distribution diagrams.