Advanced Search
MyIDEAS: Login to save this paper or follow this series

Contemporaneous-Threshold Smooth Transition GARCH Models

Contents:

Author Info

  • Michael Dueker
  • Zacharias Psaradakis
  • Martin Sola

    ()

  • Fabio Spagnolo

Abstract

This paper proposes a contemporaneous-threshold smooth transition GARCH (or CSTGARCH) 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. These characteristics allow the model to account for the large persistence and regime shifts that are often observed in the conditional second moments of economic and financial time series.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.utdt.edu/download.php?fname=_125201432533831800.pdf
Download Restriction: no

Bibliographic Info

Paper provided by Universidad Torcuato Di Tella in its series Department of Economics Working Papers with number 2009-06.

as in new window
Length: 21 pages
Date of creation: Jun 2009
Date of revision:
Handle: RePEc:udt:wpecon:2009-06

Contact details of provider:
Web page: http://www.utdt.edu/ver_contenido.php?id_contenido=439&id_item_menu=568
More information through EDIRC

Related research

Keywords: Conditional heteroskedasticity; Smooth transition GARCH; Threshold; Stock returns.;

Other versions of this item:

Find related papers by JEL classification:

This paper has been announced in the following NEP Reports:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Dueker, Michael J. & Sola, Martin & Spagnolo, Fabio, 2007. "Contemporaneous threshold autoregressive models: Estimation, testing and forecasting," Journal of Econometrics, Elsevier, vol. 141(2), pages 517-547, December.
  2. Michel LUBRANO, 2001. "Smooth Transition Garch Models : a Baysian Perspective," Discussion Papers (REL - Recherches Economiques de Louvain) 2001032, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
  3. Adrian R. Pagan & G. William Schwert, 1990. "Alternative Models For Conditional Stock Volatility," NBER Working Papers 2955, National Bureau of Economic Research, Inc.
  4. Medeiros, Marcelo C. & Veiga, Alvaro, 2009. "Modeling Multiple Regimes In Financial Volatility With A Flexible Coefficient Garch(1,1) Model," Econometric Theory, Cambridge University Press, vol. 25(01), pages 117-161, February.
  5. Markku Lanne & Pentti Saikkonen, 2005. "Non-linear GARCH models for highly persistent volatility," Econometrics Journal, Royal Economic Society, vol. 8(2), pages 251-276, 07.
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Kirstin Hubrich & Timo Teräsvirta, 2013. "Thresholds and Smooth Transitions in Vector Autoregressive Models," CREATES Research Papers 2013-18, School of Economics and Management, University of Aarhus.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:udt:wpecon:2009-06. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Martin Cecilia Lafuente).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.