Randomised pseudolikelihood ratio change point estimator in GARCH models (Q1983368)
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scientific article; zbMATH DE number 7393920
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Randomised pseudolikelihood ratio change point estimator in GARCH models |
scientific article; zbMATH DE number 7393920 |
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Randomised pseudolikelihood ratio change point estimator in GARCH models (English)
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10 September 2021
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Summary: 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.
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