Robust modelling of DTARCH models

Yer Van Hui and Jiancheng Jiang

Econometrics Journal, 2005, vol. 8, issue 2, 143-158

Abstract: -norm fit is constructed to test the model adequacy. This approach captures various nonlinear phenomena and stylized facts with desirable robustness. Simulations show that the L_1-estimators are robust against innovation distributions and accurate for a moderate sample size, and the proposed test is not only robust against innovation distributions but also powerful in discriminating the delay parameters and ARCH models. It is noted that the quasi-likelihood modelling approach used in ARCH models is inappropriate to DTARCH models in the presence of outliers and heavy tail innovations. Copyright 2005 Royal Economic Society

Date: 2005
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Persistent link: https://EconPapers.repec.org/RePEc:ect:emjrnl:v:8:y:2005:i:2:p:143-158

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