Modeling the volatility of the US SαP 500 index using an LSTGARCH model

This paper uses the logistic smooth transition GARCH model to study the time-varying volatility of the USS?P 500 index. In the LSTGARCH specification, the parameters are function of some information variables that help capturing the conditional return volatility. Tests of standard GARCH models are provided. Forecast comparisons with the GJR model are proposed, showing an overwhelming predominance of the LSTGARCH model.

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Year of publication:	2004
Authors:	Dufrénot, Gilles ; Marimoutou, Vêlayoudom ; Péguin-Feissolle, Anne
Published in:	Revue d'économie politique. - Dalloz. - Vol. 114.2004, 4, p. 453-465
Publisher:	Dalloz
Subject:	LSTGARCH \| regime switching volatility \| asymmetric dynamics

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Extent:	application/pdf text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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