Article ID: | iaor20043454 |
Country: | Netherlands |
Volume: | 20 |
Issue: | 1 |
Start Page Number: | 115 |
End Page Number: | 129 |
Publication Date: | Jan 2004 |
Journal: | International Journal of Forecasting |
Authors: | Ng Hock Guan, McAleer Michael |
Keywords: | time series & forecasting methods |
This paper is concerned with recursive estimation, testing and forecasting of the asymmetric volatility of daily returns in Standard and Poor's 500 Composite Index and the Nikkei 225 Index in the presence of extreme observations, or significant spikes in the volatility of daily returns. For each of the two data sets, the empirical analysis increases the sample size up to 12000 observations recursively to examine the effects of extreme observations on: (i) the Quasi Maximum Likelihood Estimates (QMLE) of the GARCH(1,1) and asymmetric GJR(1,1) parameters; (ii) the associated asymptotic and robust