Gonzalez-Rivera(1998), STGARCH Models

[TomDoan]

These are replication files for two of the data series examined in González-Rivera(1998), "Smooth-Transition GARCH Models," Studies in Nonlinear Dynamics & Econometrics, vol. 3, no 2, 1-20. This does one of several possible interpretations of what an "ST"GARCH model should be. In this case, the "ARCH" term (and "ARCH" term only) is subject to a logistic transition at 0, while the variance constant and the GARCH terms are fixed. This makes the model similar to a GJR asymmetric GARCH model (which is basically a "sharp" transition model). In this case, the more complicated STGARCH model doesn't really provide any value compared with the simpler asymmetric model—the results are almost indistinguishable.

stgarch_uk.rpf

UK exchange rate example

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stgarch_dm.rpf

German exchange rate example

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bbjbes1989.xls

Data file

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