Outlier Detection in GARCH Models.
We present a new procedure for detecting multiple additive outliers in GARCH(1,1) models at unknown dates. The outlier candidates are the observations with the largest standardized residual. First, a likelihood-ratio based test determines the presence and timing of an outlier. Next, a second test de...
| Main Authors: | , |
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| Format: | Working paper |
| Language: | English |
| Published: |
Tinbergen Institute
2005
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