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• W82919763 abstract "The study aims to extend the GARCH type volatility models to their nonlinear TAR (Tong, 1990) and STAR-based (Terasvirta, 1994) counter parts where both the conditional mean and the conditional variance processes follow TAR and STAR nonlinearity. The paper further investigates the models under their fractional integration and asymmetric power variants. The STAR-based models are LSTARLST- GARCH, LSTAR-LST-FIGARCH, LSTAR-LST-FIPGARCH and LSTAR-LSTFIAPGARCH models, which may be easily applied to model and forecast various financial time series. In the empirical section, an application is provided to model the daily returns in WTI crude oil prices considering the regime shifts the crude oil prices were subject to during history. Models are evaluated in terms of their out-of-sample forecasting capabilities with equal forecast accuracy tests and also in terms of various error criteria. The results suggest that volatility clustering, asymmetry and nonlinearity characteristics are modeled more efficiently as compared to their single regime variants, such as the GARCH, FIGARCH and FIAPGARCH models. Further, the outof- sample results suggest that the LSTAR-LST-FIAPGARCH model provides the best forecasting accuracy in terms of RMSE and MSE error criteria." @default.
• W82919763 created "2016-06-24" @default.
• W82919763 creator A5029469273 @default.
• W82919763 creator A5061233808 @default.
• W82919763 date "2014-01-01" @default.
• W82919763 modified "2023-09-23" @default.
• W82919763 title "Nonlinearity, Volatility and Fractional Integration in Daily Oil Prices: Smooth Transition Autoregressive ST-FI(AP)GARCH Models" @default.
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