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

DOI10.1080/00949650902756465zbMath1195.62141OpenAlexW1986396092MaRDI QIDQ3589968

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

GARCH modelsestimation biaslevel shifttemporary changelevel outliervolatility outlier

Mathematics Subject Classification ID

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

Cites Work

• Nonlinear Regression with Dependent Observations
• Specification error caused by level shifts and temporary changes in ARMA–GARCH models
• Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
• FOURTH MOMENT STRUCTURE OF THE GARCH(p,q) PROCESS
• Joint Estimation of Model Parameters and Outlier Effects in Time Series
• 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

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