Contemporaneous-threshold smooth transition GARCH models

Autores
Dueker, Michael J.; Psaradakis, Zacharias; Sola, Martin; Spagnolo, Fabio
Año de publicación
2011
Idioma
inglés
Tipo de recurso
artículo
Estado
versión publicada
Descripción
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.
Fil: Dueker, Michael J.. Russell Investments; Estados Unidos
Fil: Psaradakis, Zacharias. University of London; Reino Unido
Fil: Sola, Martin. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina. Universidad Torcuato Di Tella; Argentina. University of London; Reino Unido
Fil: Spagnolo, Fabio. Brunel University; Reino Unido
Materia
CONDITIONAL HETEROSKEDASTICITY
SMOOTH TRANSITION GARCH
STOCK RETURNS
THRESHOLD
Nivel de accesibilidad
acceso abierto
Condiciones de uso
https://creativecommons.org/licenses/by-nc-sa/2.5/ar/
Repositorio
CONICET Digital (CONICET)
Institución
Consejo Nacional de Investigaciones Científicas y Técnicas
OAI Identificador
oai:ri.conicet.gov.ar:11336/192558
Acceder
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oai_identifier_str oai:ri.conicet.gov.ar:11336/192558
network_acronym_str CONICETDig
repository_id_str 3498
network_name_str CONICET Digital (CONICET)
spelling Contemporaneous-threshold smooth transition GARCH modelsDueker, Michael J.Psaradakis, ZachariasSola, MartinSpagnolo, FabioCONDITIONAL HETEROSKEDASTICITYSMOOTH TRANSITION GARCHSTOCK RETURNSTHRESHOLDhttps://purl.org/becyt/ford/5.2https://purl.org/becyt/ford/5This 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.Fil: Dueker, Michael J.. Russell Investments; Estados UnidosFil: Psaradakis, Zacharias. University of London; Reino UnidoFil: Sola, Martin. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina. Universidad Torcuato Di Tella; Argentina. University of London; Reino UnidoFil: Spagnolo, Fabio. Brunel University; Reino UnidoDe Gruyter2011-03info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionhttp://purl.org/coar/resource_type/c_6501info:ar-repo/semantics/articuloapplication/pdfapplication/pdfhttp://hdl.handle.net/11336/192558Dueker, Michael J.; Psaradakis, Zacharias; Sola, Martin; Spagnolo, Fabio; Contemporaneous-threshold smooth transition GARCH models; De Gruyter; Studies In Nonlinear Dynamics And Econometrics; 15; 2; 3-2011; 1-251081-1826CONICET DigitalCONICETenginfo:eu-repo/semantics/altIdentifier/url/https://www.degruyter.com/document/doi/10.2202/1558-3708.1755/htmlinfo:eu-repo/semantics/altIdentifier/doi/10.2202/1558-3708.1755info:eu-repo/semantics/openAccesshttps://creativecommons.org/licenses/by-nc-sa/2.5/ar/reponame:CONICET Digital (CONICET)instname:Consejo Nacional de Investigaciones Científicas y Técnicas2025-09-03T09:44:18Zoai:ri.conicet.gov.ar:11336/192558instacron:CONICETInstitucionalhttp://ri.conicet.gov.ar/Organismo científico-tecnológicoNo correspondehttp://ri.conicet.gov.ar/oai/requestdasensio@conicet.gov.ar; lcarlino@conicet.gov.arArgentinaNo correspondeNo correspondeNo correspondeopendoar:34982025-09-03 09:44:18.794CONICET Digital (CONICET) - Consejo Nacional de Investigaciones Científicas y Técnicasfalse
dc.title.none.fl_str_mv Contemporaneous-threshold smooth transition GARCH models
title Contemporaneous-threshold smooth transition GARCH models
spellingShingle Contemporaneous-threshold smooth transition GARCH models
Dueker, Michael J.
CONDITIONAL HETEROSKEDASTICITY
SMOOTH TRANSITION GARCH
STOCK RETURNS
THRESHOLD
title_short Contemporaneous-threshold smooth transition GARCH models
title_full Contemporaneous-threshold smooth transition GARCH models
title_fullStr Contemporaneous-threshold smooth transition GARCH models
title_full_unstemmed Contemporaneous-threshold smooth transition GARCH models
title_sort Contemporaneous-threshold smooth transition GARCH models
dc.creator.none.fl_str_mv Dueker, Michael J.
Psaradakis, Zacharias
Sola, Martin
Spagnolo, Fabio
author Dueker, Michael J.
author_facet Dueker, Michael J.
Psaradakis, Zacharias
Sola, Martin
Spagnolo, Fabio
author_role author
author2 Psaradakis, Zacharias
Sola, Martin
Spagnolo, Fabio
author2_role author
author
author
dc.subject.none.fl_str_mv CONDITIONAL HETEROSKEDASTICITY
SMOOTH TRANSITION GARCH
STOCK RETURNS
THRESHOLD
topic CONDITIONAL HETEROSKEDASTICITY
SMOOTH TRANSITION GARCH
STOCK RETURNS
THRESHOLD
purl_subject.fl_str_mv https://purl.org/becyt/ford/5.2
https://purl.org/becyt/ford/5
dc.description.none.fl_txt_mv 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.
Fil: Dueker, Michael J.. Russell Investments; Estados Unidos
Fil: Psaradakis, Zacharias. University of London; Reino Unido
Fil: Sola, Martin. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina. Universidad Torcuato Di Tella; Argentina. University of London; Reino Unido
Fil: Spagnolo, Fabio. Brunel University; Reino Unido
description 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.
publishDate 2011
dc.date.none.fl_str_mv 2011-03
dc.type.none.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
http://purl.org/coar/resource_type/c_6501
info:ar-repo/semantics/articulo
format article
status_str publishedVersion
dc.identifier.none.fl_str_mv http://hdl.handle.net/11336/192558
Dueker, Michael J.; Psaradakis, Zacharias; Sola, Martin; Spagnolo, Fabio; Contemporaneous-threshold smooth transition GARCH models; De Gruyter; Studies In Nonlinear Dynamics And Econometrics; 15; 2; 3-2011; 1-25
1081-1826
CONICET Digital
CONICET
url http://hdl.handle.net/11336/192558
identifier_str_mv Dueker, Michael J.; Psaradakis, Zacharias; Sola, Martin; Spagnolo, Fabio; Contemporaneous-threshold smooth transition GARCH models; De Gruyter; Studies In Nonlinear Dynamics And Econometrics; 15; 2; 3-2011; 1-25
1081-1826
CONICET Digital
CONICET
dc.language.none.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv info:eu-repo/semantics/altIdentifier/url/https://www.degruyter.com/document/doi/10.2202/1558-3708.1755/html
info:eu-repo/semantics/altIdentifier/doi/10.2202/1558-3708.1755
dc.rights.none.fl_str_mv info:eu-repo/semantics/openAccess
https://creativecommons.org/licenses/by-nc-sa/2.5/ar/
eu_rights_str_mv openAccess
rights_invalid_str_mv https://creativecommons.org/licenses/by-nc-sa/2.5/ar/
dc.format.none.fl_str_mv application/pdf
application/pdf
dc.publisher.none.fl_str_mv De Gruyter
publisher.none.fl_str_mv De Gruyter
dc.source.none.fl_str_mv reponame:CONICET Digital (CONICET)
instname:Consejo Nacional de Investigaciones Científicas y Técnicas
reponame_str CONICET Digital (CONICET)
collection CONICET Digital (CONICET)
instname_str Consejo Nacional de Investigaciones Científicas y Técnicas
repository.name.fl_str_mv CONICET Digital (CONICET) - Consejo Nacional de Investigaciones Científicas y Técnicas
repository.mail.fl_str_mv dasensio@conicet.gov.ar; lcarlino@conicet.gov.ar
_version_ 1842268657747492864
score 13.13397

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