We present a new procedure for detecting multiple additive outliers in GARCH(1,1) models at unknown dates. The outlier … presence and timing of an outlier. Next, a second test determines the type of additive outlier (volatility or level). The tests … alternative methods, especially when it comes to determining the date of the outlier. We apply the method to returns of the Dow …

We present a new procedure for detecting multiple additive outliers in GARCH(1,1) models at unknown dates. The outlier … presence and timing of an outlier. Next, a second test determines the type of additive outlier (volatility or level). The tests … methods, especially when it comes to determining the date of the outlier. We apply the method to returns of the Dow Jones …