Artículo
Contemporaneous-threshold smooth transition GARCH models
Fecha de publicación:
03/2011
Editorial:
De Gruyter
Revista:
Studies In Nonlinear Dynamics And Econometrics
ISSN:
1081-1826
Idioma:
Inglés
Tipo de recurso:
Artículo publicado
Clasificación temática:
Resumen
This paper proposes a contemporaneous-threshold smooth transition GARCH (or C-STGARCH) model for dynamic conditional heteroskedasticity. The C-STGARCH model is a generalization to second conditional moments of the contemporaneous smooth transition threshold autoregressive model of Dueker et al. (2007) in which the regime weights depend on the ex ante probability that a contemporaneous latent regime-specific variable exceeds a threshold value. A key feature of the C-STGARCH model is that its transition function depends on all the parameters of the model as well as on the data. The structural properties of the model are investigated, in addition to the finite-sample properties of the maximum likelihood estimator of its parameters. An application to U.S. stock returns illustrates the practical usefulness of the C-STGARCH model.
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Articulos(SEDE CENTRAL)
Articulos de SEDE CENTRAL
Articulos de SEDE CENTRAL
Citación
Dueker, Michael J.; Psaradakis, Zacharias; Sola, Martin; Spagnolo, Fabio; Contemporaneous-threshold smooth transition GARCH models; De Gruyter; Studies In Nonlinear Dynamics And Econometrics; 15; 2; 3-2011; 1-25
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