Utilize este identificador para referenciar este registo: http://hdl.handle.net/1822/40085

TítuloSpecification and testing of multiplicative time-varying GARCH models with applications
Autor(es)Amado, Cristina
Teräsvirta, Timo
Palavras-chaveConditional heteroskedasticity
Misspecification testing
Modelling volatility
Nonlinear model building
Time-varying parameter model
Data2017
EditoraTaylor & Francis
RevistaEconometric Reviews
CitaçãoAmado, C., & Terasvirta, T. (2017). Specification and testing of multiplicative time-varying GARCH models with applications. Econometric Reviews, 36(4), 421-446. doi: 10.1080/07474938.2014.977064
Resumo(s)In this article, we develop a specification technique for building multiplicative time-varying GARCH models of Amado and Teräsvirta (2008, 2013). The variance is decomposed into an unconditional and a conditional component such that the unconditional variance component is allowed to evolve smoothly over time. This nonstationary component is defined as a linear combination of logistic transition functions with time as the transition variable. The appropriate number of transition functions is determined by a sequence of specification tests. For that purpose, a coherent modelling strategy based on statistical inference is presented. It is heavily dependent on Lagrange multiplier type misspecification tests. The tests are easily implemented as they are entirely based on auxiliary regressions. Finite-sample properties of the strategy and tests are examined by simulation. The modelling strategy is illustrated in practice with two real examples: an empirical application to daily exchange rate returns and another one to daily coffee futures returns.
Tipoarticle
URIhttp://hdl.handle.net/1822/40085
DOI10.1080/07474938.2014.977064
ISSN0747-4938
1532-4168
Versão da editorahttp://www.tandfonline.com/doi/abs/10.1080/07474938.2014.977064#.VqeavJqLSUk
Arbitragem científicayes
AcessorestrictedAccess
Aparece nas coleções:NIPE - Artigos em Revistas de Circulação Internacional com Arbitragem Científica

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