Modeling the volatility of the US SαP 500 index using an LSTGARCH model

Gilles Dufrénot (), Velayoudom Marimoutou and Anne Péguin-Feissolle

Revue d'économie politique, 2004, vol. 114, issue 4, 453-465

Abstract: This paper uses the logistic smooth transition GARCH model to study the time-varying volatility of the USS?P 500 index. In the LSTGARCH specification, the parameters are function of some information variables that help capturing the conditional return volatility. Tests of standard GARCH models are provided. Forecast comparisons with the GJR model are proposed, showing an overwhelming predominance of the LSTGARCH model.

Keywords: LSTGARCH; regime switching volatility; asymmetric dynamics (search for similar items in EconPapers)
Date: 2004
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