| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5060767 | Economics Letters | 2012 | 5 Pages |
Abstract
⺠This research analyses the effects of outliers on estimated GARCH volatilities. ⺠Volatilities can be overestimated even when only one large outlier is present. ⺠Overestimation affects not only the instant when the outlier appears but all periods. ⺠Robust methods reduce the biases associated with estimated volatilities.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
M. Angeles Carnero, Daniel Peña, Esther Ruiz,