Specification error caused by level shifts and temporary changes in ARMA–GARCH models

DOI10.1080/00949650701384147MaRDI QIDQ3543756zbMATH OpenOpenAlexFDO

Authors F. Javier Trívez, Beatriz Catalán

Publication date 4 December 2008

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00949650701384147

zbMATH Keywords

ARMA-GARCH modelsasymmetrykurtosisLagrange multiplier testlevel outlierlevel shiftspecification errortemporary changevolatility outlier

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)

Recommendations

• Effects of level shifts and temporary changes on the estimation of GARCH models
• Detecting level shifts in ARMA-GARCH (1,1) Models
• scientific article; zbMATH DE number 2060189
• Analyzing the effects of level shifts and temporary changes on the identification of ARIMA models
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Cites work

• Analyzing the effects of level shifts and temporary changes on the identification of ARIMA models
• Modeling volatility persistence of speculative returns: a new approach
• Outliers in GARCH processes
• Testing for ARCH in the presence of a possibly misspecified conditional mean

Cited in

(3)

• Detecting level shifts in ARMA-GARCH (1,1) Models
• Effects of level shifts and temporary changes on the estimation of GARCH models
• Analyzing the effects of level shifts and temporary changes on the identification of ARIMA models

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