Detecting level shifts in ARMA-GARCH (1,1) Models (Q3184487)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Detecting level shifts in ARMA-GARCH (1,1) Models |
scientific article |
Statements
Detecting level shifts in ARMA-GARCH (1,1) Models (English)
0 references
21 October 2009
0 references
level outliers
0 references
volatility outliers
0 references
level shifts
0 references
GARCH models
0 references
LM tests
0 references
