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Author: | Sakata, S. White, H. |
Title: | High breakdown point conditional dispersion estimation with application to S&P 500 daily returns volatility |
Journal: | Econometrica
1998 : MAY, VOL. 66:3, p. 529-567 |
Index terms: | MARKETS MODELS VOLATILITY ESTIMATION |
Language: | eng |
Abstract: | It is shown that quasi-maximum likelihood (or QML) estimators for conditional dispersion models can be severely affected by a small number of outliers such as market crashes and rallies. It is proposed new estimation strategies resistant to the effects of outliers and studied the properties of these estimators. The methods are applied for estimating models of the conditional volatility of the daily returns of the S&P 500 Cash Index series. In contrast to the QML estimators, the proposed method of the paper resists outliers, revealing an informative new picture of volatility dynamics during 'typical' daily market activity. |
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