منابع مشابه
Smooth-Transition GARCH Models
The asymmetric response of conditional variances to positive versus negative news has been traditionally modeled with threshold specifications that allow only two possible regimes: low or high volatility. In this paper, the possibility of intermediate regimes is considered and modeled with the introduction of a smooth-transition mechanism in a GARCH specification. One important property of this...
متن کاملSmooth Transition Garch Models : A
This paper proposes a new kind of asymmetric GARCH where the conditional variance obeys two diierent regimes with a smooth transition function. In one formulation, the conditional variance reacts diierently to negative and positive shocks while in a second formulation, small and big shocks have separate eeects. The introduction of a threshold allows for a mixed eeect. A Bayesian strategy, based...
متن کاملA Smooth Transition GARCH Model with Asymmetric Transition Phases
This paper develops a smooth transition GARCH model with an asymmetric transition function, which allows for an asymmetric response of volatility to the size and sign of shocks, and an asymmetric transition dynamics for positive and negative shocks. We apply our model to the empirical financial data: the NASDAQ index and the individual stock IBM daily returns. The empirical evidence shows that ...
متن کاملCore Discussion Paper 9866 Smooth Transition Garch Models: a Bayesian Perspective
This paper proposes a new kind of asymmetric GARCH where the conditional variance obeys two di erent regimes with a smooth transition function. In one formulation, the conditional variance reacts di erently to negative and positive shocks while in a second formulation, small and big shocks have separate e ects. The introduction of a threshold allows for a mixed e ect. A Bayesian strategy, based...
متن کاملEstimating smooth transition autoregressive models with GARCH errors in the presence of extreme observations and outliers
This paper investigates several empirical issues regarding quasimaximum likelihood estimation of Smooth Transition Autoregressive (STAR) models with GARCH errors, specifically STAR-GARCH and STAR-STGARCH. Convergence, the choice of different algorithms for maximising the likelihood function, and the sensitivity of the estimates to outliers and extreme observations, are examined using daily data...
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ژورنال
عنوان ژورنال: Studies in Nonlinear Dynamics & Econometrics
سال: 1998
ISSN: 1558-3708
DOI: 10.2202/1558-3708.1041