Effects of level shifts and temporary changes on the estimation of GARCH models

被引：0
|
作者：
Javier Trivez, F. [1 ]
Catalan, Beatriz [1 ]
机构：
[1] Univ Zaragoza, Dept Anal Econ, Zaragoza, Spain
来源：
JOURNAL OF STATISTICAL COMPUTATION AND SIMULATION | 2010年 / 80卷 / 06期
关键词：
GARCH models; level shift; temporary change; level outlier; volatility outlier; estimation bias; MAXIMUM LIKELIHOOD ESTIMATOR; FORECASTING VOLATILITY; ADDITIVE OUTLIERS; HETEROSCEDASTICITY;
D O I：
10.1080/00949650902756465
中图分类号：
TP39 [计算机的应用];
学科分类号：
081203 ; 0835 ;
摘要：
The aim of this article is to analyse the effect of the level shift and temporary change outliers on the estimation of a model with conditional heteroscedasticity, a concept rarely dealt with up to now, the literature focusing more on additive outliers. To do this, we have conducted various Monte Carlo experiments in which the bias produced by these outliers is analysed.
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页码：667 / 688
页数：22
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