Detecting outliers in GARCH(p,q) models

DOI10.1080/03610918.2016.1255964zbMATH Open1462.62538OpenAlexW2549277695MaRDI QIDQ3133053FDOQ3133053

Authors: H. Kamranfar, Rahim Chinipardaz, Behzad Mansouri 

Publication date: 12 February 2018

Published in: Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2016.1255964

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zbMATH Keywords

simulationGARCH modeladditive outliersinnovational outlierstemporary changelevel change

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Economic time series analysis (91B84)

Cited In (4)

• Appraisal of excess Kurtosis through outlier-modified GARCH-type models
• Correcting outliers in GARCH models: a weighted forward approach
• Title not available (Why is that?)
• Outliers and GARCH models in financial data

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