Ghijsels, H.

model garch return garch model medse sample forecasting table outlier garch models method result volatility series stock ghijsels / journal forecast ao-corrected parameter market error garch-t models ao-corrected returns variance garch-t observation additive franse estimate ghijsel stock markets additive outliers ao-corrected data r erasmus university rotterdam statistic estimation data r t paper error variance value bollerslev kurtosi out-of-sample aex returns table 3 0 1 0.0001 signi example 1987–1990 normality section level additive outlier model diagnostics concern tests level shifts t rt r r t garch equation stock market returns z t series garch equation fi nancial returns time series fi rst parameter estimates out-of-sample forecasting forecasting performance ao-corrected returns r measure signi ficant order 1989–1992 property autocorrelation residual index 1988–1991 rotterdam