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Outliers and GARCH models in financial data

✍ Scribed by Amélie Charles; Olivier Darné

Book ID
116420973
Publisher
Elsevier Science
Year
2005
Tongue
English
Weight
85 KB
Volume
86
Category
Article
ISSN
0165-1765

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## Abstract In this paper, we detect and correct abnormal returns in 17 French stocks returns and the French index CAC40 from additive‐outlier detection method in GARCH models developed by Franses and Ghijsels (1999) and extended to innovative outliers by Charles and Darné (2005). We study the effe

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## Abstract Since volatility is perceived as an explicit measure of risk, financial economists have long been concerned with accurate measures and forecasts of future volatility and, undoubtedly, the Generalized Autoregressive Conditional Heteroscedasticity (GARCH) model has been widely used for do