Outlier robust specification of multiplicative time-varying volatility models

Detalhes bibliográficos
Autor(a) principal: Amado, Cristina
Data de Publicação: 2022
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: https://hdl.handle.net/1822/81323
Resumo: NIPE 11.2022
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spelling Outlier robust specification of multiplicative time-varying volatility modelsConditional heteroskedasticityTesting parameter constancyModel speci ficationTime-varying unconditional varianceOutliersC12C32C51C52NIPE 11.2022Nonstationarity and outlying observations are commonly encountered in financial time series. It is thus expected that models are able to accommodate these stylized facts and the techniques used are suitable to specify such models. In this paper we relax the assumption of stationarity and consider the problem of detecting smooth changes in the unconditional variance in the presence of outliers. It is found by simulation that the misspecifi cation test for constancy of the unconditional variance in GARCH models can be severely adversely affected in the presence of additive outliers. An outlier robust specifi cation procedure is also proposed to mitigate the effects of outliers for building multiplicative time-varying volatility models. The outlier robust variant of the test is shown to perform better than the conventional test in terms of size and power. An application to commodity returns illustrates the usefulness of the robust specifi cation procedure.This research was carried out within the funding from COMPETE with reference POCI-01-0145-FEDER-028234, with the FCT/MECs (Fundação para a Ciência e a Tecnologia, I.P.) financial support through national funding and by the ERDF through the Operational Programme on ”Competitiveness and Internationalization” - COMPETE 2020 under the PT2020 Part nership Agreement. Any errors and shortcomings in this work are my own responsibilityUniversidade do Minho. Núcleo de Investigação em Políticas Económicas (NIPE)Universidade do MinhoAmado, Cristina20222022-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttps://hdl.handle.net/1822/81323enghttps://nipe.eeg.uminho.pt/en/nipe-publications/#documentos-de-trabalhoinfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-07-21T12:14:51Zoai:repositorium.sdum.uminho.pt:1822/81323Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T19:07:12.401364Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Outlier robust specification of multiplicative time-varying volatility models
title Outlier robust specification of multiplicative time-varying volatility models
spellingShingle Outlier robust specification of multiplicative time-varying volatility models
Amado, Cristina
Conditional heteroskedasticity
Testing parameter constancy
Model speci fication
Time-varying unconditional variance
Outliers
C12
C32
C51
C52
title_short Outlier robust specification of multiplicative time-varying volatility models
title_full Outlier robust specification of multiplicative time-varying volatility models
title_fullStr Outlier robust specification of multiplicative time-varying volatility models
title_full_unstemmed Outlier robust specification of multiplicative time-varying volatility models
title_sort Outlier robust specification of multiplicative time-varying volatility models
author Amado, Cristina
author_facet Amado, Cristina
author_role author
dc.contributor.none.fl_str_mv Universidade do Minho
dc.contributor.author.fl_str_mv Amado, Cristina
dc.subject.por.fl_str_mv Conditional heteroskedasticity
Testing parameter constancy
Model speci fication
Time-varying unconditional variance
Outliers
C12
C32
C51
C52
topic Conditional heteroskedasticity
Testing parameter constancy
Model speci fication
Time-varying unconditional variance
Outliers
C12
C32
C51
C52
description NIPE 11.2022
publishDate 2022
dc.date.none.fl_str_mv 2022
2022-01-01T00:00:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv https://hdl.handle.net/1822/81323
url https://hdl.handle.net/1822/81323
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv https://nipe.eeg.uminho.pt/en/nipe-publications/#documentos-de-trabalho
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Universidade do Minho. Núcleo de Investigação em Políticas Económicas (NIPE)
publisher.none.fl_str_mv Universidade do Minho. Núcleo de Investigação em Políticas Económicas (NIPE)
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv
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