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STAR-STGARCH: GAUSS modules to estimate STAR models with ST-GARCH errors

Author

Listed:
  • Stefan Lundbergh

    (Skandia Asset Management)

Programming Language

GAUSS

Abstract

This GAUSS package can be used for specifying, estimating and evaluating Smooth Transition Autoregressive - Smooth Transition GARCH models. The user can test linearity against STAR, specify and estimate a STAR model for the conditional mean, test the null of no ARCH, and, if rejected, estimate a GARCH model. After that, the user can carry out misspecification tests for the estimated GARCH model and, if the results suggest such a step, estimate a STGARCH model for the conditional variance.

Suggested Citation

  • Stefan Lundbergh, 1998. "STAR-STGARCH: GAUSS modules to estimate STAR models with ST-GARCH errors," Statistical Software Components G111201, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:g111201
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