SSE/EFI Working Paper Series in Economics and Finance
No 291:
Modelling economic high-frequency time series with STAR-STGARCH models
Stefan Lundbergh ()
and Timo Teräsvirta ()
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.
Keywords: Financial time series; model misspecification test; nonlinear time series; smooth transition autoregressive model; smooth transition GARCH; time series model specification.; (follow links to similar papers)
JEL-Codes: C51; C52; F31; (follow links to similar papers)
48 pages, December 18, 1998
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