Detecting level shifts in ARMA-GARCH (1,1) Models (Q3184487)
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scientific article; zbMATH DE number 5618942
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| English | Detecting level shifts in ARMA-GARCH (1,1) Models |
scientific article; zbMATH DE number 5618942 |
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Detecting level shifts in ARMA-GARCH (1,1) Models (English)
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21 October 2009
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level outliers
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volatility outliers
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level shifts
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GARCH models
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LM tests
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0.8458322286605835
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0.8324649333953857
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0.7809934020042419
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0.7739536762237549
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