Additive outliers, GARCH and forecasting volatility
- 1 February 1999
- journal article
- Published by Elsevier in International Journal of Forecasting
- Vol. 15 (1) , 1-9
- https://doi.org/10.1016/s0169-2070(98)00053-3
Abstract
No abstract availableKeywords
This publication has 10 references indexed in Scilit:
- Joint Estimation of Model Parameters and Outlier Effects in Time SeriesJournal of the American Statistical Association, 1993
- Alternative models for conditional stock volatilityJournal of Econometrics, 1990
- The Message in Daily Exchange Rates: A Conditional-Variance TaleJournal of Business & Economic Statistics, 1989
- The effect of additive outliers on the forecasts from ARIMA modelsInternational Journal of Forecasting, 1989
- Estimation of Time Series Parameters in the Presence of OutliersTechnometrics, 1988
- Outliers, level shifts, and variance changes in time seriesJournal of Forecasting, 1988
- A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of ReturnThe Review of Economics and Statistics, 1987
- Generalized autoregressive conditional heteroskedasticityJournal of Econometrics, 1986
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom InflationEconometrica, 1982
- Outliers in Time SeriesJournal of the Royal Statistical Society Series B: Statistical Methodology, 1972