Forecasting volatility in GARCH models with additive outliers

DOI10.1080/14697680601116872zbMath1151.91714OpenAlexW2098646460MaRDI QIDQ5440098

F. Javier Trívez, Beatriz Catalán

Publication date: 31 January 2008

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680601116872

Mathematics Subject Classification ID

Economic time series analysis (91B84)

Related Items (5)

Jump detection in high-frequency financial data using wavelets ⋮ Detecting level shifts in ARMA-GARCH (1,1) Models ⋮ Effects of level shifts and temporary changes on the estimation of GARCH models ⋮ Robust bootstrap forecast densities for GARCH returns and volatilities ⋮ Correcting outliers in GARCH models: a weighted forward approach

Cites Work

• Forecasting in the presence of large shocks
• Understanding the effect of time series outliers on sample autocorrelations
• Modelling the persistence of conditional variances
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• High Breakdown Point Conditional Dispersion Estimation with Application to S & P 500 Daily Returns Volatility
• Reallocation Outliers in Time Series
• AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY

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