Change Finder using GARCH — hcp

Change-point detection is related to event/trend change detection. Change Finder GARCH detects change points based on deviations relative to linear regression model doi:10.1109/TKDE.2006.1599387. It wraps the GARCH model presented in the rugarch library.

Usage

hcp_garch(sw_size = 5)

Arguments

sw_size: Sliding window size

Value

hcp_garch object

References

Ogasawara, E., Salles, R., Porto, F., Pacitti, E. Event Detection in Time Series. 1st ed. Cham: Springer Nature Switzerland, 2025. doi:10.1007/978-3-031-75941-3

Examples

library(daltoolbox)

# Load change-point example data
data(examples_changepoints)

# Use a volatility example
dataset <- examples_changepoints$volatility
head(dataset)
#>         serie event
#> 1  1.61424200 FALSE
#> 2  1.19696424 FALSE
#> 3 -0.02275846 FALSE
#> 4 -2.22607912 FALSE
#> 5  0.01189136 FALSE
#> 6 -0.03898793 FALSE

# Configure ChangeFinder-GARCH detector
model <- hcp_garch()

# Fit the model
model <- fit(model, dataset$serie)

# Run detection
detection <- detect(model, dataset$serie)

# Show detected change points
print(detection[(detection$event),])
#>     idx event        type
#> 196 196  TRUE changepoint