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Showing 1 results for Innovational Outlier
Rahim Chinipardaz, Hoda Kamranfar,
Volume 3, Issue 1 (9-2009)
Abstract
This paper is concerned with the study of the effect of outliers in GARCH models. Four common outliers are considered: additive outliers, innovation outliers, level change and temporary change. Each of the outlier is embedded to a GARCH model and then the effectness of outliers in this model is studied. The residuals of the models have been investigated for both cases, the usual GARCH model and the GARCH model in the present of outliers.
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