RT Generic
T1 Spurious and hidden volatility
A1 Carnero, María Ángeles
A1 Peña, Daniel
A1 Ruiz Ortega, Esther
A2 Instituto Valenciano de Investigaciones Económicas, 
AB 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.
YR 2004
FD 2004
LK https://hdl.handle.net/10016/9028
UL https://hdl.handle.net/10016/9028
LA eng
DS e-Archivo
RD 17 jul. 2024