Specification error caused by level shifts and temporary changes in ARMA–GARCH models (Q3543756)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 5378259
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Specification error caused by level shifts and temporary changes in ARMA–GARCH models |
scientific article; zbMATH DE number 5378259 |
Statements
Specification error caused by level shifts and temporary changes in ARMA–GARCH models (English)
0 references
4 December 2008
0 references
ARMA-GARCH models
0 references
level shift
0 references
temporary change
0 references
level outlier
0 references
volatility outlier
0 references
Lagrange multiplier test
0 references
kurtosis
0 references
asymmetry
0 references
specification error
0 references
0 references
0.8925805687904358
0 references
0.8458322286605835
0 references
0.7740508913993835
0 references
0.7740508913993835
0 references
