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Effect of Different Types of Outliers on GARCH Models
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Rahim Chinipardaz *   , Hoda Kamranfar |
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Abstract: (21398 Views) |
| This paper is concerned with the study of the effect of outliers in GARCH models. Four common outliers are considered: additive outliers, innovation outliers, level change and temporary change. Each of the outlier is embedded to a GARCH model and then the effectness of outliers in this model is studied. The residuals of the models have been investigated for both cases, the usual GARCH model and the GARCH model in the present of outliers. |
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| Keywords: Additive Outlier, GARCH Model, Innovational Outlier, Level Change, Temporary Change. |
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Full-Text [PDF 458 kb]
(3733 Downloads)
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Type of Study: Research |
Subject:
Time Series
Received: 2011/07/4 | Accepted: 2013/08/13 | Published: 2020/02/18
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