Detection and Estimation of Change Point in Volatility Function of Foreign Exchange Rate Returns
Josephine Njeri Ngure,
Anthony Gichuhi Waititu,
Simon Maina Mundia
Issue:
Volume 9, Issue 1, February 2023
Pages:
1-12
Received:
13 January 2023
Accepted:
22 February 2023
Published:
6 April 2023
Abstract: This work aims at detection and estimation of a change point in conditional variance function of a Nonparametric Auto-Regressive Conditional Heteroscedastic model. The conditional mean and conditional variance functions are not specified a priori but estimated using Nadaraya Watson kernel. This is because inferences based on nonparametric approaches are robust against misspecification of the conditional mean function and the conditional variance function of returns. The squared residuals obtained after estimating the regression function of the returns are used in estimating the conditional variance function. Further, the squared residuals are used in developing a test statistic for unknown abrupt change point in volatility of the exchange rate returns. The test statistic takes into consideration the conditional heteroskedasticity of the disturbances, dependence of the returns, heterogeneity and fourth moment of returns. This does not require prior knowledge of the marginal or the conditional densities of the returns as opposed to maximum likelihood estimation methods. The estimator for change point is considered as the augmented maximum of the test statistic. The consistency of the estimator is stated as a theorem. The asymptotic distribution associated with the test for unknown break points is the Bessel process distribution. The Bessel process distributions have no known simple closed-form expression for the distribution function which makes it difficult to compute exact p-values. Also, the Bessel process distributions depend on two parameters which makes it hard to tabulate the critical values hence one needs to simulate them. After simulating the critical values, hypothesis testing is done in the presence and absence of a change point in volatility of a simulated time series and the test is shown to reject the null hypothesis in the presence of a change point at alpha level of significance. Further, the test fails to reject the null hypothesis in the absence of a change point at alpha level of significance. An application to United States Dollar/Kenya Shilling historical exchange rates returns is made from 1st January 2010 to 27th November 2020 where the sample size n = 2839 is done. Through binary segmentation method, three change points are detected, estimated and accounted for. A significant improvement in describing a time series is expected if a point in time for volatility change has been detected and estimated.
Abstract: This work aims at detection and estimation of a change point in conditional variance function of a Nonparametric Auto-Regressive Conditional Heteroscedastic model. The conditional mean and conditional variance functions are not specified a priori but estimated using Nadaraya Watson kernel. This is because inferences based on nonparametric approache...
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Implementation of Voter Data Update Based on Pkpu Number 17 of 2020 in the Election of Regional Head in Belu Regency in 2020
Medan YonathanMael,
Dian Festianto,
Marthen Patiung
Issue:
Volume 9, Issue 1, February 2023
Pages:
13-21
Received:
3 November 2022
Accepted:
17 January 2023
Published:
25 September 2023
Abstract: The task of the Belu Regency KPU in the 2020 regional head election is to manage, compile and submit data on the final voter list of 118,005 voters. There are additional voters (DPTb) as many as 4,191 voters, 142 voters moved to 122,338 voters. The implementation of PKPU Number 17 of 2020 in the Implementation of General Elections in each process is of course based on the policy of the commissioner. Communication patterns, work mechanisms, and other things also affect the updating of voter data, where there is a comparison of DPTb between sub-districts and urban and rural areas. The issue of voter registration that keeps repeating itself from election to election requires good election governance to solve it. The preparation of the voter list by the Belu Regency KPU was carried out well starting from the DPS, DPSHP, Final DPSHP, DPT, DPTb, and DPK. The results of the determination are accepted by all parties (Bawaslu, Disdukcapil, Political Parties, as well as pairs of Candidates for Regent and Deputy Regent) it is proven that there is a Recapitulation Report. Based on the research findings, here are some recommendations that need to be improved in the implementation of the upcoming elections, especially in Belu district. Improvement of the Sidalih website; Recruitment of candidates for Ad Hoc agency officers; Strengthen communication strategy; Synergy with Disdukcapil; Increased socialization that encourages voters to actively check their names on the voter list provides more detail about the procedure for reporting if it is not already on the voter list.
Abstract: The task of the Belu Regency KPU in the 2020 regional head election is to manage, compile and submit data on the final voter list of 118,005 voters. There are additional voters (DPTb) as many as 4,191 voters, 142 voters moved to 122,338 voters. The implementation of PKPU Number 17 of 2020 in the Implementation of General Elections in each process i...
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