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Effects of level shifts and temporary changes on the estimation of GARCH models
Abstract:The aim of this article is to analyse the effect of the level shift and temporary change outliers on the estimation of a model with conditional heteroscedasticity, a concept rarely 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 bias produced by these outliers is analysed.
Keywords:GARCH models  level shift  temporary change  level outlier  volatility outlier  estimation bias
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