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

DOI10.1080/00949650701384147zbMath1149.62326OpenAlexW1968706495MaRDI QIDQ3543756

Beatriz Catalán, F. Javier Trívez

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

asymmetrykurtosisLagrange multiplier testspecification errorARMA-GARCH modelslevel shifttemporary changelevel outliervolatility outlier

Mathematics Subject Classification ID

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

Related Items (2)

Detecting level shifts in ARMA-GARCH (1,1) Models ⋮ Effects of level shifts and temporary changes on the estimation of GARCH models

Cites Work

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

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