Smooth Transition GARCH Models: a Bayesian perspective.

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.

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Year of publication:	1999
Authors:	Lubrano, M.
Institutions:	Groupement de Recherche en Économie Quantitative d'Aix-Marseille (GREQAM), Aix-Marseille School of Economics (AMSE)
Subject:	ECONOMETRICS \| TIME SERIES \| ECONOMIC MODELS \| FINANCIAL MARKET

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Series:	G.R.E.Q.A.M..
Type of publication:	Book / Working Paper
Notes:	29 pages
Classification:	C11 - Bayesian Analysis ; C22 - Time-Series Models ; C51 - Model Construction and Estimation ; G14 - Information and Market Efficiency; Event Studies
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005479014