Development of test statistic for detecting outliers in GARCH(1,1) processes / Siti Meriam Zahari
This study is about outlier detection in time series data. The main objective is to derive and to test statistics for detecting outliers in GARCH(1,1) processes and subsequently to develop a procedure for testing the presence of outliers using the statistics. Types of outliers for which the statisti...
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| Main Author: | |
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| Format: | Thesis |
| Language: | English |
| Published: |
2009
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| Subjects: | |
| Online Access: | https://ir.uitm.edu.my/id/eprint/41278/1/41278.pdf |
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