Plenary Lecture

Plenary Lecture

Outlier Detection for Level Change (LC) in GARCH(1,1) Processes

Professor Azami Zaharim
Head Centre for Engineering Education Research
Faculty of Engineering and Built Environment
Head for Renewable Energy Resources and Social Impact Research Group
Solar Energy Research Institute (SERI)
Universiti Kebangsaan Malaysia
43600 UKM, Bangi, Selangor

Abstract: This study describes outlier detection in time series data for the outlier of level change (LC) type. The main objective is to derive a test statistic for detecting LC in GARCH(1,1) processes. Subsequently a procedure for testing the presence of outliers using the statistics was developed. In the derivation of the statistics, the method applied was based on an analogy of GARCH(1,1) as being equivalent to ARMA(1,1) for the residuals . Because of the difficulty in determining the sampling distributions of the outlier detection statistics, critical regions were estimated through simulations. The performance of the outlier detection was evaluated based on the outlier test criteria using simulations. Results on the power of correctly detecting the outlier was reported. The developed outlier detection procedure was applied for testing the presence of LC outliers in the daily observations of the Kuala Lumpur Composite Index (KLCI), the Index of Consumer Product (ICP), and the Index of Industrial Product (IIP) for the period 1990 to 2005. Over the period, the results indicate that LC outlier occurred in year 1998.

Brief Biography of the Speaker:
Azami Zaharim worked first 13 years as a lecturer in the Universiti Teknologi MARA (University of MARA Technology - UiTM) before joining the Universiti Kebangsaan Malaysia (National University of Malaysia - UKM) in the year 2003. He is Associate Professor at the Faculty of Engineering and Built Environment UKM, and is currently the head for centre engineering education research. He obtained his BSc(Statistics and Computing) with Honours from North London University, UK in 1988 and PhD (Statistics) in 1996 from University of Newcastle Upon Tyne, UK. He specialize in statistics, public opinion, engineering education and renewable energy resources. He has until now published over 100 research papers in Journals and conferences, conducted more than 15 public opinion consultancies and delivered 3 keynotes/invited speeches at national and international meetings. He is currently the head of Renewable Energy Resources and Social Impact Research Group under the Solar Energy Research Institute (SERI). In the year 2007, he headed the Engineering Mathematics Research Group.



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