کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
958850 929082 2011 11 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Long memory and nonlinearity in conditional variances: A smooth transition FIGARCH model
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Long memory and nonlinearity in conditional variances: A smooth transition FIGARCH model
چکیده انگلیسی

This paper introduces the Smooth Transition version of FIGARCH model which is designed to account for both long memory and nonlinear dynamics in the conditional variance. Nonlinearity is introduced via a logistic transition function. The model can capture smooth changes in the volatility across different regimes as well as asymmetric response to negative and positive shocks and allows for nonzero thresholds. Simulations find that the Smooth Transition FIGARCH model outperforms the standard FIGARCH model when nonlinearity is present, and ignoring nonlinearity in the data may induce considerable costs in terms of bias and efficiency. Applications to exchange rate and stock market data show that the proposed model performs well both in-sample fit as well as in forecasting one-day ahead volatility.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Empirical Finance - Volume 18, Issue 2, March 2011, Pages 368–378
نویسندگان
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