Effects of level shifts and temporary changes on the estimation of GARCH models (Q3589968)
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scientific article; zbMATH DE number 5786695
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| English | Effects of level shifts and temporary changes on the estimation of GARCH models |
scientific article; zbMATH DE number 5786695 |
Statements
Effects of level shifts and temporary changes on the estimation of GARCH models (English)
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17 September 2010
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GARCH models
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level shift
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temporary change
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level outlier
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volatility outlier
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estimation bias
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0.8925805687904358
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0.8324649333953857
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0.8277310132980347
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0.768826425075531
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