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

被引：2

作者：

Javier Trivez, F. ^{[1
]}

Catalan, Beatriz ^{[1
]}

机构：

[1] Univ Zaragoza, Fac Ciencias Econ, Dept Anal Econ, Zaragoza, Spain

来源：

JOURNAL OF STATISTICAL COMPUTATION AND SIMULATION | 2008年 / 78卷 / 09期

关键词：

ARMA-GARCH models; level shift; temporary change; level outlier; volatility outlier; lagrange multiplier test; kurtosis; asymmetry; specification error;

D O I：

10.1080/00949650701384147

中图分类号：

TP39 [计算机的应用];

学科分类号：

081203 ; 0835 ;

摘要：

The aim of this article is to analyse the effect of the level shifts and temporary changes on the specification of a model with conditional heteroscedasticity, a concept very little dealt with up to now, the literature focusing more on additive outliers. To do this, we have conducted various Monte Carlo experiments in which the effect of these outliers on the principal model identification tools (descriptive statistics, graphs and heteroscedasticity tests) is analysed.

引用

页码：853 / 868

页数：16

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