Estimation of the ARMA-GARCH model by the presence of stray values

Abstract

The research aims to estimate the model (ARMA-GARCH) in the
presence of stray values that contaminate the studied time series, and
affect the characteristics of the capabilities of the model, as well as its
impact on the characteristics of the probability distribution of the time
series due to deviation in the general format of the observations, which in
turn affects Kurtosis and skewness coefficients, reflecting negatively on
model capabilities and predictive power.
In practice, the research deals with the