This paper uses the logistic smooth transition GARCH model to study the time-varying volatility of the USS?P 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...

The returns of many financial assets show significant skewness, but in the literature this issue is only marginally dealt with. Our conjecture is that this distributional asymmetry may be due to two different dynamics in positive and negative returns.In this paper we propose a process that...