Modelling Economic High-Frequency Time Series

Stefan Lundbergh and Timo Teräsvirta
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Stefan Lundbergh: Stockholm School of Economics

No 99-009/4, Tinbergen Institute Discussion Papers from Tinbergen Institute

Abstract: In this paper we introduce the STAR-STGARCH model that can characterizenonlinear behaviour both in the conditional mean and the conditionalvariance. A modelling cycle for this family of models, consisting ofspecification, estimation, and evaluation stages is constructed.Misspecification tests for the estimated model are obtained using standardasymptotic distribution theory. We illustrate the actual modelling byapplying the STAR-STGARCH model family to two series of dailyobservations, the Swedish OMX index and the exchange rate JPY-USD.

Date: 1999-02-18
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