In this paper, we show the effects that outliers have on estimation and inference for autoregressive conditional heteroskedasticity (ARCH) models. We propose for a wide class of ARCH models commonly estimated, an empirically tractable solution to this problem by replacing outliers with their...

Value at Risk (VaR) forecasts have been increasingly accepted globally by both risk managers and regulators as a tool to identify and control exposure to financial market risk. However, modern portfolios are characterized by a constantly changing composition of security holdings that reflect...