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首页> 外文会议>International Conference on Mathematics, Engineering and Industrial Applications >Structural breaks and outliers in ASEAN Shariah compliant indices: The impulse indicator saturation approach
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Structural breaks and outliers in ASEAN Shariah compliant indices: The impulse indicator saturation approach

机译：东盟符合符合指数的结构休息和异常值：脉冲指标饱和方法

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摘要

It is commonly accepted that financial time series are affected with the present of extreme events (outliers) such as financial crisis and wars which may change the estimation parameter (breaks). These criteria need to be consider in the modelling of financial time series. However, current practice is to correct the outliers before structural breaks can be detected. This study aims to assess the joint detection of outliers and structural breaks in the ASEAN Shariah stock indices using the IIS. These detected outliers and structural breaks are then incorporate into GARCH (1,1) model to examine their impact on the estimation parameter. This study found that the estimation of GARCH (1,1) parameter improves when both of the outliers and structural breaks are taken into consideration.
机译：通常接受金融时序序列受到极端事件（异常值）的影响，如金融危机和战争，可能会改变估计参数（休息）。这些标准需要考虑在金融时间序列的建模中。但是，当前的做法是在检测到结构中断之前纠正异常值。本研究旨在评估使用IIS的东盟伊斯疆股票指数的异常值和结构休息的联合检测。然后将这些检测到的异常值和结构断裂包含在GARCH（1,1）模型中以检查它们对估计参数的影响。该研究发现，当考虑到两者的异常值和结构断裂时，GARCH（1,1）参数的估计可提高。

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