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A Study on Outlier Detection Method for Financial Time Series Data

재무 시계열 자료의 이상치 탐지 기법 연구

  • Received : 20091200
  • Accepted : 20100100
  • Published : 2010.02.28

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

References

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