English, Article, Journal or magazine article edition: Smooth Transition Garch Models : a Baysian Perspective Michel LUBRANO

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Bookmark: http://trove.nla.gov.au/version/4233
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Smooth Transition Garch Models : a Baysian Perspective
Author
  • Michel LUBRANO
Physical Description
  • preprint
Notes
  • This paper proposes a new kind of asymmetric GARCH where the conditional variance obeys two diffŽrent regimes with a smooth transition function. In one formulation, the conditional variance reacts differently to negative and positive shocks while in a second formulation, small and big shocks have separate effects. The introduction of a threshold allows for a mixed effect. A Bayesian strategy, based on the comparison between posterior and predictive Bayesian residuals, is built for detecting the presence and the shape of non-linearities. The method is applied to the Brussels and Tokyo stock indexes. The attractiveness of an alternative parameterisation of the GARCH model is emphasised as a potential solution to some numerical problems.
  • RePEc:ctl:louvre:2001032
Language
  • English
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