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Modelling economic high-frequency time series with STAR-STGARCH models

Author

Listed:
  • Lundbergh, Stefan

    (Dept. of Economic Statistics, Stockholm School of Economics)

  • Teräsvirta, Timo

    (Dept. of Economic Statistics, Stockholm School of Economics)

Abstract

In this paper we introduce the STAR-STGARCH model that can characterize nonlinear behaviour both in the conditional mean and the conditional variance. A modelling cycle for this family of models, consisting of specification, estimation, and evaluation stages is constructed. Misspecification tests for the estimated model are obtained using standard asymptotic distribution theory. We illustrate the actual modelling by applying the STAR-STGARCH model family to two series of daily observations, the Swedish OMX index and the exchange rate JPY-USD.

Suggested Citation

  • Lundbergh, Stefan & Teräsvirta, Timo, 1998. "Modelling economic high-frequency time series with STAR-STGARCH models," SSE/EFI Working Paper Series in Economics and Finance 291, Stockholm School of Economics.
    • Handle: RePEc:hhs:hastef:0291
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    More about this item

    Keywords

    Financial time series; model misspecification test; nonlinear time series; smooth transition autoregressive model; smooth transition GARCH; time series model specification.;
    All these keywords.

    JEL classification:

    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • F31 - International Economics - - International Finance - - - Foreign Exchange

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