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Title: Contemporaneous-threshold smooth transition GARCH models
Authors: Dueker, MJ
Psaradakis, Z
Sola, M
Spagnolo, F
Keywords: GARCH model;Heteroskedasticity;Contemporaneous smooth transition threshold;Stock returns
Issue Date: 2011
Publisher: Walter de Gruyter GmbH
Citation: Studies in Nonlinear Dynamics & Econometrics, 15(2): Article no. 1, 2011
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 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.
Description: Copyright © 2011 Walter de Gruyter GmbH.
ISSN: 1081-1826
Appears in Collections:Economics and Finance
Dept of Economics and Finance Research Papers

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