Effects of level shifts and temporary changes on the estimation of GARCH models

DOI10.1080/00949650902756465MaRDI QIDQ3589968zbMATH OpenOpenAlexFDO

Authors F. Javier Trívez, Beatriz Catalán

Publication date 17 September 2010

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

Full work available at URL https://doi.org/10.1080/00949650902756465

zbMATH Keywords

estimation biasGARCH modelslevel outlierlevel shifttemporary changevolatility outlier

Mathematics Subject Classification ID

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

Recommendations

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Cites work

• Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models
• Effects of outliers on the identification and estimation of GARCH models
• Forecasting volatility in GARCH models with additive outliers
• FOURTH MOMENT STRUCTURE OF THE GARCH(p,q) PROCESS
• Joint Estimation of Model Parameters and Outlier Effects in Time Series
• Nonlinear Regression with Dependent Observations
• Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
• Specification error caused by level shifts and temporary changes in ARMA–GARCH models

Cited in

(6)

• A Comparison of Two Alternative Approaches to Modeling Level Shifts in the Presence of Outliers
• Detecting level shifts in ARMA-GARCH (1,1) Models
• Specification error caused by level shifts and temporary changes in ARMA–GARCH models
• scientific article; zbMATH DE number 2060189 (Why is no real title available?)
• Level changes in volatility models
• Effects of outliers on the identification and estimation of GARCH models

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