This is the program for the 2010 Joint Statistical Meetings in Vancouver, British Columbia.
Abstract Details
Activity Number:
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299
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Type:
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Contributed
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Date/Time:
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Tuesday, August 3, 2010 : 8:30 AM to 10:20 AM
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Sponsor:
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Business and Economic Statistics Section
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Abstract - #306634 |
Title:
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Outliers in GARCH Models and the Estimation of Risk Measures
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Author(s):
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Helena Veiga*+ and Aurea Grané
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Companies:
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Universidad Carlos III de Madrid and Universidad Carlos III de Madrid
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Address:
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c/ Madrid 126, Getafe (Madrid), 28093 Geta, Spain
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Keywords:
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Risk Measures ;
Outliers ;
GARCH models ;
Wavelets
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Abstract:
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In this paper we focus on the impact of additive level outliers on the calculation of risk measures such as minimum capital risk requirements and four possible alternatives of reducing these measures' estimation biases. The first and second alternatives are based on wavelets while the third is based on the traditional proposals in the literature and the three are based on the detection and correction of outliers before the estimation of these risk measures. On the other hand, the fourth alternative fits a t-distributed GARCH(1,1) directly to the "contaminated" data. The results based on Monte Carlo experiments and real data reveal that the presence of these observations can bias severely the minimum capital risk requirement estimates calculated using the GARCH(1,1) model and that filtering outliers with wavelets generates more accurate estimates of these measures than the alternatives.
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