Modelling economic high-frequency time series with STAR-STGARCH models

Stefan Lundbergh () and Timo Teräsvirta
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Stefan Lundbergh: Dept. of Economic Statistics, Stockholm School of Economics, Postal: Stockholm School of Economics, P.O. Box 6501, S-113 83 Stockholm, Sweden

No 291, SSE/EFI Working Paper Series in Economics and Finance from Stockholm School of Economics

Abstract: In this paper we introduce the STAR-STGARCH model that can characterize nonlinear behaviour both in the conditional mean and the conditional variance. A modelling cycle for this family of models, consisting of specification, estimation, and evaluation stages is constructed. Misspecification tests for the estimated model are obtained using standard asymptotic distribution theory. We illustrate the actual modelling by applying the STAR-STGARCH model family to two series of daily observations, the Swedish OMX index and the exchange rate JPY-USD.

Keywords: Financial time series; model misspecification test; nonlinear time series; smooth transition autoregressive model; smooth transition GARCH; time series model specification. (search for similar items in EconPapers)
JEL-codes: C51 C52 F31 (search for similar items in EconPapers)
Pages: 48 pages
Date: 1998-12-18
New Economics Papers: this item is included in nep-ecm and nep-ets
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Citations: View citations in EconPapers (33)

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Persistent link: https://EconPapers.repec.org/RePEc:hhs:hastef:0291

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