Modeling the volatility of the US S&P500 index using an LSTGARCH model

Gilles Dufrénot (), Vêlayoudom Marimoutou () and Anne Peguin-Feissolle ()
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Vêlayoudom Marimoutou: GREQAM - Groupement de Recherche en Économie Quantitative d'Aix-Marseille - EHESS - École des hautes études en sciences sociales - AMU - Aix Marseille Université - ECM - École Centrale de Marseille - CNRS - Centre National de la Recherche Scientifique
Anne Peguin-Feissolle: GREQAM - Groupement de Recherche en Économie Quantitative d'Aix-Marseille - EHESS - École des hautes études en sciences sociales - AMU - Aix Marseille Université - ECM - École Centrale de Marseille - CNRS - Centre National de la Recherche Scientifique

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Abstract: This paper uses the logistic smooth transition GARCH model to study the time-varying volatility of the USSαP 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; LSTGARC; volatilité à changement de régime; dynamique asymétrique (search for similar items in EconPapers)
Date: 2004
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Published in Revue d'économie politique, 2004, 114 (4), pp.453-465. ⟨10.3917/redp.144.0453⟩

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Journal Article: Modeling the volatility of the US SαP 500 index using an LSTGARCH model (2004)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-00390147

DOI: 10.3917/redp.144.0453

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