Smooth Transition GARCH Models: a Bayesian perspective

Michel Lubrano

G.R.E.Q.A.M. from Universite Aix-Marseille III

Abstract: This paper proposes a new kind of asymmetric GARCh where the conditional variance obeys two different regimes with a smooth transition function. In one formulation variance reacts differently to negative and positive shocks while a second formulation, small and big shocks have separate effects.

Keywords: ECONOMETRICS; TIME SERIES; ECONOMIC MODELS; FINANCIAL MARKET (search for similar items in EconPapers)
JEL-codes: C11 C22 C51 G14 (search for similar items in EconPapers)
Pages: 29 pages
Date: 1999
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Related works:
Working Paper: Smooth Transition Garch Models: a Baysian Perspective (2001)
Working Paper: Smooth transition GARCH models: a Bayesian perspective (1998)
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Persistent link: https://EconPapers.repec.org/RePEc:fth:aixmeq:99a49

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