|
Archivo Abierto Institucional de la Universidad Carlos III de Madrid >
Investigación >
Departamentos >
Departamento de Estadística >
DES - Working Papers. Statistics and Econometrics. WS >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10016/211
|
Files in This Item:
| ws042007.pdf | -- 2006-11-09 -- Available on Internet -- preprint | 7,56 MB | Adobe PDF | |  |
|
| Title: | Spurious and hidden volatility |
| Author(s): | Carnero, María Ángeles
Peña, Daniel
Ruiz, Esther [ortega] |
| Editors: | Universidad Carlos III de Madrid |
| Issued date: | Jul-2004 |
| URI: | http://hdl.handle.net/10016/211 |
| Abstract: | This paper analyses the effects caused by outliers on the identification and estimation of GARCH models. We show that outliers can lead to detect spurious conditional heteroscedasticity and can also hide genuine ARCH effects. First, we derive the asymptotic biases caused by outliers on the sample autocorrelations of squared observations and their effects on some homoscedasticity tests. Then, we obtain the asymptotic biases of the OLS estimates of ARCH(p) models and analyze their finite sample behavior by means of extensive Monte Carlo experiments. The finite sample results are extended to GLS and ML estimates of ARCH(p) and GARCH(1,1) models. |
| Serie / Nº.: | UC3M Working Papers. Statistics and Econometrics
2004-07 |
| Appears in Collections: | DES - Working Papers. Statistics and Econometrics. WS
Economists Online
|
Items in E-Archivo are protected by copyright, with all rights reserved, unless otherwise indicated.
|
