I wants to apply the outliers detection and correction method of Doornik and Oomos proposed in 2005. I have write the codes of this method and have no issue to detect the outliers by this method. I have an issue with the correction of outliers by this method. As for as the correction of Additive Level Ouliter (ALO) the correction is simple and straightforward. I have problem with correction of Additive Volatility Outlier(AVO).
Can any one explain me how to correct the AVO?
With best regards,, Irfan malik
I can't find your reference. Could you give the citation? Thanks.
Hi Muhammad. You mean Doornik and Ooms method, I suppose. I looked briefly at the paper you enclosed. You said you have written the code for the detection. That's nice because it is not simple. Can you be more precise about your problem for the correction ?
Dear Guy Melard,
I have no problem with the correction of ALO, but I am bit confused with the correction of AVO. What I understand from the steps that are given in the paper, the correction for both types of outliers are same but steps (in step 4) distinguished these two types of outliers.
Regards,
Dear David
Here is the mentioned ciation.
Doornik, Jurgen A., and Marius Ooms. Outlier detection in GARCH models. No. 05-092/4. Tinbergen Institute Discussion Paper, 2005.
Hi Mohammad, may I ask you in which package did you manage to write the code for Doornik volatility outlier detection method?
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