Franses, Philip Hans; van Dijk, Dick - Faculteit der Economische Wetenschappen, Erasmus … - 1999
In this paper the issue of detecting and handling outliers in the GARCH(1,1) model is addressed. Simulation evidence … shows that neglecting even a single outlier has a dramatic on parameter estimates. To detect and correct for outliers, we … shows that correcting for a few outliers yields substantial improvements in out-of-sample forecasts. …