haku: @freeterm Smooth transition / yhteensä: 1
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Tekijä: | Lee, J. DeGennaro, R. P. |
Otsikko: | Smooth transition ARCH models: Estimation and testing |
Lehti: | Review of Quantitative Finance and Accounting
2000 : JUL, VOL. 15:1, p. 5-20 |
Asiasana: | Mathematical models Tests Quantitative techniques Financial markets Time series |
Vapaa asiasana: | ARCH-models Switching regime Smooth transition |
Kieli: | eng |
Tiivistelmä: | We develop an extension of the ARCH model, the smooth transition autoregressive conditional heteroskedasticity (STARCH) model. STARCH models endogenously allow for time-varying shifts in the parameters of the conditional variance equation. We find some evidence of a smooth transition in excess returns, but in contrast to previous studies, we find almost no evidence of volatility persistence once we allow for smooth transitions in the conditional variance. |
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