Spurious and hidden volatility

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dc.contributor.author Carnero, María Ángeles
dc.contributor.author Peña, Daniel
dc.contributor.author Ruiz, Esther
dc.contributor.other Instituto Valenciano de Investigaciones Económicas
dc.date.accessioned 2010-07-08T10:20:09Z
dc.date.available 2010-07-08T10:20:09Z
dc.date.issued 2004
dc.identifier.uri http://hdl.handle.net/10016/9028
dc.description.abstract This 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.mimetype application/pdf
dc.language.iso eng
dc.relation.ispartofseries Documentos de trabajo-AD
dc.relation.ispartofseries 2004-45
dc.title Spurious and hidden volatility
dc.type workingPaper
dc.relation.publisherversion http://www.ivie.es/downloads/docs/04/wpad-45.pdf
dc.subject.eciencia Estadística
dc.rights.accessRights openAccess
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