CHANMCALEER_AFE2003: RATS program to replicate Chan and McAleer(2003) STAR-STGARCH models

Tom Doan ()
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Tom Doan: Estima

Statistical Software Components from Boston College Department of Economics

Abstract: Replication file for Felix Chan & Michael McAleer(2003), "Estimating smooth transition autoregressive models with GARCH errors in the presence of extreme observations and outliers," Applied Financial Economics, vol. 13, no 8, 581-592.

Language: RATS
Requires: RATS 8.00
Keywords: GARCH; Threshold (search for similar items in EconPapers)
Date: 2025-12-29
Note: RPF and SRC files are plain text. See https://estima.com/ratsfiletypes.shtml
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Citations:

Downloads: (external link)
https://estima.com/procedures/chanmcaleer_afe2003.zip (application/zip)

Related works:
Journal Article: Estimating smooth transition autoregressive models with GARCH errors in the presence of extreme observations and outliers (2003)
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