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Spurious and hidden volatility

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dc.affiliation.dptoUC3M. Departamento de Estadísticaes
dc.contributor.authorCarnero, María Ángeles
dc.contributor.authorPeña, Daniel
dc.contributor.authorRuiz Ortega, Esther
dc.contributor.otherInstituto Valenciano de Investigaciones Económicas
dc.date.accessioned2010-07-08T10:20:09Z
dc.date.available2010-07-08T10:20:09Z
dc.date.issued2004
dc.description.abstractThis paper analyzes 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 behaviour by means of extensive Monte Carlo experiments. The finite sample results are extended to GLS and ML estimates ARCH(p) and GARCH(1,1) models.
dc.format.mimetypeapplication/pdf
dc.identifier.urihttps://hdl.handle.net/10016/9028
dc.language.isoeng
dc.relation.ispartofseriesDocumentos de trabajo-AD
dc.relation.ispartofseries2004-45
dc.relation.publisherversionhttp://www.ivie.es/downloads/docs/04/wpad-45.pdf
dc.rights.accessRightsopen access
dc.subject.ecienciaEstadística
dc.titleSpurious and hidden volatility
dc.typeworking paper*
dspace.entity.typePublication
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