STAR-STGARCH: GAUSS modules to estimate STAR models with ST-GARCH errors

Stefan Lundbergh ()
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Stefan Lundbergh: Skandia Asset Management

Statistical Software Components from Boston College Department of Economics

Abstract: This GAUSS package can be used for specifying, estimating and evaluating Smooth Transition Autoregressive - Smooth Transition GARCH models. The user can test linearity against STAR, specify and estimate a STAR model for the conditional mean, test the null of no ARCH, and, if rejected, estimate a GARCH model. After that, the user can carry out misspecification tests for the estimated GARCH model and, if the results suggest such a step, estimate a STGARCH model for the conditional variance.

Language: GAUSS
Requires: GAUSS
Keywords: smooth transition autoregression; GARCH (search for similar items in EconPapers)
Date: 1998-10-09

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http://fmwww.bc.edu/repec/bocode/s/stcode.zip program archive (application/zip)
http://swopec.hhs.se/hastef/papers/hastef0291.pdf documentation (application/pdf)

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