Browsing by Subject "Autocorrelation Function"

Now showing items 1-3 of 3

    • Consistency of the Model Order Change-Point Estimator for GARCH Models 

      Irungu, Irene W.; Mwita, Peter N.; Waititu, Antony G. (Machakos University, 2018-04)
      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 ...

    • 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 ...