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http://dx.doi.org/10.5351/KJAS.2010.23.1.041

A Study on Outlier Detection Method for Financial Time Series Data  

Ha, M.H. (Department of Statistics, Chung-Ang University)
Kim, S. (Department of Statistics, Chung-Ang University)
Publication Information
The Korean Journal of Applied Statistics / v.23, no.1, 2010 , pp. 41-47 More about this Journal
Abstract
In this paper, we show the performance evaluation of outlier detection methods based on the GARCH model. We first introduce GARCH model and the methods of outlier detection in the GARCH model. The results of small simulation and the real KOSPI data show the out-performance of the outlier detection method over the traditional method in the GARCH model.
Keywords
Outliers; GARCH model; KOSPI data;
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