Spurious and hidden volatility

1. Carnero Fernández, M. Ángeles
2. Peña Sánchez de Rivera, Daniel
3. Ruiz Ortega, Esther

Exporter

Exporter

×

MLA

modern-language-association

APA

apa

Chicago

chicago-fullnote-bibliography

Harvard

harvard-cite-them-right

Vancouver

vancouver-author-date

---

RIS BibTex

Exporter

×

Le document ne peut pas être exporté car il appartient à un autre portail.

Texte intégral

lock_openTexte intégral externo

DIALNET GOOGLE SCHOLAR lock_openAccès ouvert editor

Résumé

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.

La source de données: Dialnet