Hi everyone
Is there any replication code for the STAR STGARCH model, as explained in Lundberg and Terasvirta, 1999 "Modelling economic high frequency time series". Stockholm school of economics WP
STAR- STGARCH Lundberg and Terasvirta (1999)
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aymenbelgacem
- Posts: 6
- Joined: Tue Oct 18, 2011 5:27 am
Re: STAR- STGARCH Lundberg and Terasvirta (1999)
The TSAYP185.RPF example does a STAR-ARCH model. STAR-GARCH isn't that much different; you just have to use the standard recursive formulas for generating the variances as is done with other GARCH model estimated using MAXIMIZE.aymenbelgacem wrote:Hi everyone
Is there any replication code for the STAR STGARCH model, as explained in Lundberg and Terasvirta, 1999 "Modelling economic high frequency time series". Stockholm school of economics WP
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aymenbelgacem
- Posts: 6
- Joined: Tue Oct 18, 2011 5:27 am
Re: STAR- STGARCH Lundberg and Terasvirta (1999)
It's STAR STGARCH and not STAR GARCH (smooth transition in mean and variance equation)
Re: STAR- STGARCH Lundberg and Terasvirta (1999)
You asked whether anyone had RATS code to do the analysis in a twelve year old unpublished working paper. The answer is almost certainly no. There are many reasons a paper might not have been published, but a good bet is that this wasn't considered particularly novel. It just combines a STAR model for the regression with a STAR model for the GARCH.