Detecting outliers in GARCH(p,q) models |
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Authors: | Hoda Kamranfar Rahim Chinipardaz |
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Affiliation: | Department of Statistics, Shahid Chamran University of Ahvaz, Ahvaz, Iran |
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Abstract: | This article is concerned with the outliers in GARCH models. An iterative procedure is given for testing the presence of any type of the four common outliers. Since the distribution of test statistic cannot be obtained analytically, its distributional behavior is investigated via a simulation study. The simulation study is based on estimation of residuals standard deviation (σν), which are obtained using two methods, median absolute deviation method (MAD), and omit-one method. The proposed procedure is employed for testing the presence of outliers in weekly light oil price Indexes of Iran during 1997 to 2010. |
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Keywords: | Additive outliers GARCH model Innovational outliers Level change Simulation Temporary change |
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