Randomised Pseudolikelihood Ratio Change Point Estimator in Garch Models

Figure 1

Graphs showing changes in volatility: (a) graph showing an early, middle, and late change with a 5% change in volatility of the True(Tru), ordinary CUSUM(Lee) of [20], and the Randomised(Ran) estimator and (b) graph showing an early, middle, and late change with a 200% change in volatility of the True(Tru), ordinary CUSUM(Lee) of [20], and the Randomised(Ran) estimator.

(a)

(b)