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

DOI10.1080/02664760802499303zbMath1473.62316OpenAlexW2012912589MaRDI 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 modelslevel shiftsLM testslevel outliersvolatility outliers

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Parametric hypothesis testing (62F03)

Cites Work

• Estimating continuous-time stochastic volatility models of the short-term interest rate
• Generalized autoregressive conditional heteroscedasticity
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• Specification error caused by level shifts and temporary changes in ARMA–GARCH models
• Testing for Structural Change in Dynamic Models
• Conflict Among the Criteria Revisited; The W, LR and LM Tests
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Monte Carlo Methodology and the Finite Sample Properties of Instrumental Variables Statistics for Testing Nested and Non-Nested Hypotheses
• High Breakdown Point Conditional Dispersion Estimation with Application to S & P 500 Daily Returns Volatility
• The Econometrics of Ultra-high-frequency Data
• Forecasting volatility in GARCH models with additive outliers

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