Estimating smooth transition autoregressive models with GARCH errors in the presence of extreme observations and outliers
The paper investigates several empirical issues regarding quasi-maximum likelihood estimation of smooth transition autoregressive (STAR) models with GARCH errors (STAR-GARCH) and STAR models with smooth transition GARCH errors (STAR-STGARCH). Empirical evidence is provided to show that different algorithms produce substantially different estimates for the same model. Consequently, the interpretation of the model can differ according to the choice of algorithm. Convergence, the choice of different algorithms for maximizing the likelihood function, and the sensitivity of the estimates to outliers and extreme observations, are examined using daily data for S&P 500, Hang Seng and Nikkei 225 for the period January 1986 to April 2000.
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.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 13 (2003)
Issue (Month): 8 ()
|Contact details of provider:|| Web page: http://www.tandfonline.com/RAFE20|
|Order Information:||Web: http://www.tandfonline.com/pricing/journal/RAFE20|
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.:
- Diebold, Francis X. & Nason, James A., 1990.
"Nonparametric exchange rate prediction?,"
Journal of International Economics,
Elsevier, vol. 28(3-4), pages 315-332, May.
- Bougerol, Philippe & Picard, Nico, 1992. "Stationarity of Garch processes and of some nonnegative time series," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 115-127.
When requesting a correction, please mention this item's handle: RePEc:taf:apfiec:v:13:y:2003:i:8:p:581-592. 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: (Michael McNulty)
If references are entirely missing, you can add them using this form.