STAR-GARCH model

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Brc
Posts: 21
Joined: Thu Jun 20, 2024 5:16 pm

STAR-GARCH model

Post by Brc »

Hello Dear Tom,

I am looking for RATS codes for STAR-GARCH model (without adding the ST to the GARCH process) which introduced by Felix Chan and Michael McAleer [2002]. Thank you for your helps.

Best Regards.
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TomDoan
Posts: 7821
Joined: Wed Nov 01, 2006 4:36 pm

Re: STAR-GARCH model

Post by TomDoan »

The Chan-McAleer AFE 2003 replication actually estimates the STAR-GARCH model first before moving on to the more complicated model. You should read the rather lengthy comments in that post, as the model really doesn't work well in the presence of outliers.
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