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Short Patches of Outliers, ARCH and Volatility Modeling
Franses, Philip Hans; van Dijk, Dick; Lucas, André - 1998
In this paper we test for (Generalized) AutoRegressive Conditional Heteroskedasticity [(G)ARCH] in daily data on 22 exchange rates and 13 stock market indices using the standard Lagrange Multiplier [LM] test for GARCH and a LM test that is resistant to patches of additive outliers. The data span...
Persistent link: https://www.econbiz.de/10010324601
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Short patches of outliers, ARCH and volatility modeling
Franses, Philip Hans; Dijk, Dick van; Lucas, André - 1998
In this paper we test for (Generalized) AutoRegressive Conditional Heteroskedasticity [(G)ARCH] in daily data on 22 exchange rates and 13 stock market indices using the standard Lagrange Multiplier [LM] test for GARCH and a LM test that is resistant to patches of additive outliers. The data span...
Persistent link: https://www.econbiz.de/10011284080
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Short Patches of Outliers, ARCH and Volatility Modeling
Franses, Philip Hans; Dijk, Dick van; Lucas, André - Tinbergen Instituut - 1998
In this paper we test for (Generalized) AutoRegressive Conditional Heteroskedasticity [(G)ARCH] in daily data on 22 exchange rates and 13 stock market indices using the standard Lagrange Multiplier [LM] test for GARCH and a LM test that is resistant to patches of additive outliers. The data span...
Persistent link: https://www.econbiz.de/10011256237
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Do We Often Find ARCH Because Of Neglected Outliers?
Franses, Philip Hans; van Dijk, Dick - Faculteit der Economische Wetenschappen, Erasmus … - 1997
In this paper we test for (Generalized) AutoRegressive Conditional Heteroskedasticity [(G)ARCH] in daily and weekly data on 22 exchange rates and 13 stock market indices using the standard Lagrange Multiplier [LM] test for GARCH and a new LM test that is resistant to additive outliers. The data...
Persistent link: https://www.econbiz.de/10010837745
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Testing for ARCH in the Presence of Additive Outliers
van Dijk, Dick; Franses, Philip Hans; Lucas, Andre - Faculteit der Economische Wetenschappen, Erasmus … - 1996
In this paper we investigate the properties of the Lagrange Multiplier (LM) test for autoregressive conditional heteroskedasticity (ARCH) and generalized ARCH (GARCH) in the presence of additive outliers (AO's). We show analytically that both the asymptotic size and power are adversely affected...
Persistent link: https://www.econbiz.de/10010837947
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Nonlinearities and outliers: robust specification of STAR models
Franses, Philip Hans; van Dijk, Dick; Escribano, A. - Faculteit der Economische Wetenschappen, Erasmus … - 1998
Outliers and nonlinearity may easily be mistaken. This paper uses Monte Carlo methods to examine and compare the behavior of two competing specification procedures for Smooth Transition AutoRegressive [STAR] models under various different circumstances (linear and nonlinear data generating...
Persistent link: https://www.econbiz.de/10010837988
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Short Patches of Outliers, ARCH and Volatility Modeling
Franses, Philip Hans; Dijk, Dick van; Lucas, André - Tinbergen Institute - 1998
In this paper we test for (Generalized) AutoRegressive Conditional Heteroskedasticity [(G)ARCH] in daily data on 22 exchange rates and 13 stock market indices using the standard Lagrange Multiplier [LM] test for GARCH and a LM test that is resistant to patches of additive outliers. The data span...
Persistent link: https://www.econbiz.de/10005281753