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    Contemporaneous-threshold smooth transition GARCH models

    Dueker, M.J. and Psaradakis, Zacharias and Sola, Martin and Spagnolo, F. (2011) Contemporaneous-threshold smooth transition GARCH models. Studies in Nonlinear Dynamics & Econometrics 15 (2), ISSN 1081-1826.

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    Abstract

    This paper proposes a contemporaneous-threshold smooth transition GARCH (or C-STGARCH)model for dynamic conditional heteroskedasticity. The C-STGARCH model is a generalization tosecond 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.

    Metadata

    Item Type: Article
    Additional Information: The final publication is available at www.degruyter.com
    School: School of Business, Economics & Informatics > Economics, Mathematics and Statistics
    Research Centres and Institutes: Applied Macroeconomics, Birkbeck Centre for
    Depositing User: Martin Sola
    Date Deposited: 29 May 2013 15:27
    Last Modified: 11 Jun 2021 09:25
    URI: https://eprints.bbk.ac.uk/id/eprint/7034

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