Markov Switching Smooth Transition GARCH Model
Statistics Theory
2017-11-22 v2 Methodology
Statistics Theory
Abstract
A Markov switching asymmetric GARCH model which imposes more leverage effect of the negative shocks is considered. The asymptotic behavior of the second moment is investigated and an upper bound for it is calculated. A bayesian strategy through Gibbs and griddy Gibbs sampling is used to estimate the parameters. Finally we study the performance of the model by two real data sets. We show that this model has the best in-sample fit via DIC and provides a better forecast when the negative skewness is large enough.
Cite
@article{arxiv.1603.01795,
title = {Markov Switching Smooth Transition GARCH Model},
author = {N. AleMohammad and S. Rezakhah and H. Hoseinalizadeh},
journal= {arXiv preprint arXiv:1603.01795},
year = {2017}
}
Comments
20 pages. arXiv admin note: text overlap with arXiv:1303.5525