05-092/4 - Outlier Detection in GARCH Models

• Authors
  Jurgen A. Doornik, Nuffield College, University of Oxford; Marius Ooms, Department of Econometrics, Vrije Universiteit Amsterdam
• Publication date
  October 13, 2005

• Keywords
  Dummy variable; Generalized Autoregressive Conditional Heteroskedasticity; GARCH-t; Outlier detection; Extreme value distribution
• JEL
  C22; C52; G10