Doornik, Jurgen A.; Ooms, Marius - 2005
We present a new procedure for detecting multiple additive outliers in GARCH(1,1) models at unknown dates. The outlier … are shown to be similar with respect to the GARCH parameters. Their null distribution can be easily approximated from an … index, using monthly, weekly, and daily data. The procedure is extended and applied to GARCH models with Student …