Awiakye-Marfo, G., Mung’atu, J. and O’Weke, P. (2020) Randomised Pseudolikelihood Ratio Change Point Estimator in Garch Models. Journal of Mathematics, 2020, Article ID: 6671515. https://doi.org/10.1155/2020/6671515

has been cited by the following article:

• TITLE: Convergence of a Randomised Change Point Estimator in GARCH Models

  AUTHORS: George Awiakye-Marfo, Joseph Mung’atu, Patrick Weke

  KEYWORDS: GARCH, Randomised, Limiting Distribution, Brownian Bridge, Volatility, CUSUM, IGARCH, Supremum

  JOURNAL NAME: Journal of Mathematical Finance, Vol.11 No.2, May 12, 2021

  ABSTRACT: 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.