The RATS Software Forum

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.

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.