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.

中文翻译：

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Garch模型中的随机伪似然比变化点估计

本文提出了一种用于GARCH模型的随机伪似然比变化点估计器。给出了GARCH模型的随机变化点估计量的推导及其一致性。还给出了支持估计器有效性的仿真结果。可以看出，随机估计量的表现优于普通CUSUM平方检验，并且在方差变化率大的情况下是最佳的。