Randomised Pseudolikelihood Ratio Change Point Estimator in Garch Models
In this paper, a randomised pseudolikelihood ratio change point estimator for GARCH model is presented. Derivation of a randomised change point estimator for the GARCH model and its consistency are given. Simulation results that support the validity of the estimator are also presented. It was observ...
Saved in:
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Wiley
2020-01-01
|
| Series: | Journal of Mathematics |
| Online Access: | http://dx.doi.org/10.1155/2020/6671515 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| _version_ | 1832561142823649280 |
|---|---|
| author | George Awiakye-Marfo Joseph Mung’atu Patrick O. Weke |
| author_facet | George Awiakye-Marfo Joseph Mung’atu Patrick O. Weke |
| author_sort | George Awiakye-Marfo |
| collection | DOAJ |
| description | In this paper, a randomised pseudolikelihood ratio change point estimator for GARCH model is presented. Derivation of a randomised change point estimator for the GARCH model and its consistency are given. Simulation results that support the validity of the estimator are also presented. It was observed that the randomised estimator outperforms the ordinary CUSUM of squares test, and it is optimal with large variance change ratios. |
| format | Article |
| id | doaj-art-4e2dbcb061bf4930aa1946134941a057 |
| institution | Kabale University |
| issn | 2314-4629 2314-4785 |
| language | English |
| publishDate | 2020-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Journal of Mathematics |
| spelling | doaj-art-4e2dbcb061bf4930aa1946134941a0572025-02-03T01:25:46ZengWileyJournal of Mathematics2314-46292314-47852020-01-01202010.1155/2020/66715156671515Randomised Pseudolikelihood Ratio Change Point Estimator in Garch ModelsGeorge Awiakye-Marfo0Joseph Mung’atu1Patrick O. Weke2Department of Mathematics and Statistics, Pan African University, Institute of Science, Technology and Innovation, P.O. Box 62000 00200, Nairobi, KenyaDepartment of Statistics and Actuarial Science, JKUAT, Nairobi, KenyaSchool of Mathematics, University of Nairobi, Nairobi, KenyaIn this paper, a randomised pseudolikelihood ratio change point estimator for GARCH model is presented. Derivation of a randomised change point estimator for the GARCH model and its consistency are given. Simulation results that support the validity of the estimator are also presented. It was observed that the randomised estimator outperforms the ordinary CUSUM of squares test, and it is optimal with large variance change ratios.http://dx.doi.org/10.1155/2020/6671515 |
| spellingShingle | George Awiakye-Marfo Joseph Mung’atu Patrick O. Weke Randomised Pseudolikelihood Ratio Change Point Estimator in Garch Models Journal of Mathematics |
| title | Randomised Pseudolikelihood Ratio Change Point Estimator in Garch Models |
| title_full | Randomised Pseudolikelihood Ratio Change Point Estimator in Garch Models |
| title_fullStr | Randomised Pseudolikelihood Ratio Change Point Estimator in Garch Models |
| title_full_unstemmed | Randomised Pseudolikelihood Ratio Change Point Estimator in Garch Models |
| title_short | Randomised Pseudolikelihood Ratio Change Point Estimator in Garch Models |
| title_sort | randomised pseudolikelihood ratio change point estimator in garch models |
| url | http://dx.doi.org/10.1155/2020/6671515 |
| work_keys_str_mv | AT georgeawiakyemarfo randomisedpseudolikelihoodratiochangepointestimatoringarchmodels AT josephmungatu randomisedpseudolikelihoodratiochangepointestimatoringarchmodels AT patrickoweke randomisedpseudolikelihoodratiochangepointestimatoringarchmodels |