Detecting level shifts in ARMA-GARCH (1,1) Models

DOI10.1080/02664760802499303zbMath1473.62316MaRDI QIDQ3184487

Beatriz Catalán, F. Javier Trívez

Publication date: 21 October 2009

Published in: Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02664760802499303

zbMATH Keywords

GARCH models; level shifts; LM tests; level outliers; volatility outliers

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62P05: Applications of statistics to actuarial sciences and financial mathematics

62F03: Parametric hypothesis testing

Cites Work

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• The Econometrics of Ultra-high-frequency Data
• Forecasting volatility in GARCH models with additive outliers