Browsing School of Pure and Applied Sciences by Author "Irungu, Irene W."
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Consistency of the Model Order Change-Point Estimator for GARCH Models
Irungu, Irene W.; Mwita, Peter N.; Waititu, Antony G. (Scientific Research Publishing Inc., 2018)GARCH models have been commonly used to capture volatility dynamics in financial time series. A key assumption utilized is that the series is stationary as this allows for model identifiability. This however violates the ... -
Limit Theory of Model Order Change-Point Estimator for GARCH Mode
Irungu, Irene W.; Mwita, Peter N.; Waititu, Antony G. (Scientific Research Publishing, 2018)The limit theory of a change-point process which is based on the Manhattan distance of the sample autocorrelation function with applications to GARCH processes is examined. The general theory of the sample autocovariance ...