CATALÁN, BEATRIZ; TRÍVEZ, F. JAVIER - In: Estudios de Economía Aplicada 24 (2006) Abril, pp. 531-543
The objective of this paper is to analyze and analytically quantify the effect of additive outliers in the forecasting of volatility from an ARCH Model. For it, we start by distinguishing between Additive Level Outliers (ALO) and Additive Volatility Outliers (AVO), obtaining the analytical...