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Lee, J. and Lee, S. (2015) Parameter Change Test for Nonlinear Time Series Models with Garch Type Errors. Journal of the Korean Mathematical Society, 52, 503-522.
https://doi.org/10.4134/JKMS.2015.52.3.503

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.