文章基本信息

标题：Convergence of a Randomised Change Point Estimator in GARCH Models
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作者：George Awiakye-Marfo ; Joseph Mung’atu ; Patrick Weke 等
期刊名称：Journal of Mathematical Finance
印刷版ISSN：2162-2434
电子版ISSN：2162-2442
出版年度：2021
卷号：11
期号：2
页码：234-245
DOI：10.4236/jmf.2021.112013
语种：English
出版社：Scientific Research Publishing
摘要：In this paper, the randomised pseudolikelihood ratio change point estimator for GARCH models in [1] is employed and its limiting distribution is derived as the supremum of a standard Brownian bridge. Data analysis to validate the estimator is carried out using the United states dollar (USD)-Ghana cedi (GHS) daily exchange rate data. The randomised estimator is able to detect and estimate a single change in the variance structure of the data and provides a reference point for historic data analysis.
关键词：GARCH;Randomised;Limiting Distribution;Brownian Bridge;Volatility;CUSUM;IGARCH;Supremum