Specification Procedure For Symmetric Smooth Transition Autoregressive Models
DOI:
https://doi.org/10.4314/5mg99d17Keywords:
ARCH, effect, Symmetric, Transition function, Asymmetric, Sequential tests, NonstationaryAbstract
Abstract: In this paper, we assess the first-rate specification accuracy of Escribano-Jorda procedure (EJP) over Terasvirta procedure (TP) in the selection of true symmetric STAR model of the financial time series. Daily nonstationary BETAGLASS stock index (BSI) totaling 2472 observations were obtained from Nigerian Exchange Limited for empirical illustrations. Terasvirta sequential tests and Escribano-Jorda tests were carried out; first-order logistic function classified as asymmetric transition function and exponential function classified as symmetric transition function were specified by TP and EJP, respectively. Both symmetric and asymmetric STAR models were justifiably fitted to percentage BETAGLASS stock returns (PBSR) and the best model was determined at the evaluation stage. The empirical assessment of the fits of both symmetric STAR models and asymmetric STAR models revealed that symmetric STAR models outperformed asymmetric STAR models under consideration. Hence, EJP has greater specification power over TP particularly when the true model of the financial time series is any symmetric STAR model. Owing to the presence of autoregressive conditional heteroscedastic (ARCH) effects, STAR-generalized ARCH (STAR-GARCH) models and autoregressive-GARCH (AR-GARCH) models were specified and fitted to PBSR. On balance, the SPLSTAR-GARCH (1, 1) model with generalized hyperbolic skew-student’s t innovations outperformed the competing models. Also, the overall prediction performance of the SPLSTAR-GARCH (1 1) model is better than its linear counterpart based on the Akaike information criterion and forecast root mean square error.
Downloads
Published
Issue
Section
Similar Articles
- Benjamin Asuquo Effiong, Emmanuel Wilfred Okereke, Chukwuemeka Onwuzuruike Omekara, Chigozie Kelechi Acha, Emmanuel Alphonsus Akpan, A New Family of Smooth Transition Autoregressive (STAR) Models: Properties and Application of its Symmetric Version to Exchange Rates , Communication In Physical Sciences: Vol. 9 No. 3 (2023): VOLUME 9 ISSUE 3
- Isah Haruna, Yahaya Zakari, Umar Kabir Abdullahi, Reuben Oluwabukunmi David, Jamilu Yunusa Falgore, On the Study of Kumaraswamy Reduced Kies Distribution: Properties and Applications , Communication In Physical Sciences: Vol. 12 No. 3 (2025): VOLUME 12 ISSUE 3
- Kingsley Uchendu, Emmanuel Wilfred Okereke, A New Symmetric Bimodal Extension of Ailamujia Distribution: Properties and Application to Time Series Data , Communication In Physical Sciences: Vol. 12 No. 6 (2025): Volume 12 ISSUE 6
- Uwaisu Yusuf, Paul A. P. Mamza, Casimir Emmanuel Gimba, Effect of Isoberlina Wood Fillers on the Mechanical and Thermal Properties of PVC Composites , Communication In Physical Sciences: Vol. 6 No. 1 (2020): VOLUME 6 ISSUE 1
- Promise A. Azor, Edikan E. Akpanibah, Okechukwu I. Edozieunor, Closed Form Solutions of a Re-Insurer’s Surplus, Stochastic and Time-Dependent Investment Returns with Random Parameters , Communication In Physical Sciences: Vol. 11 No. 1 (2024): VOLUME 11 ISSUE 1
- Abdullahi Lawal, Musa Bello, Ahmed Musa Kona, Quasi-particle band structure and optical properties of Perylene Crystal for Solar Cell Application: A G0W0 Calculations , Communication In Physical Sciences: Vol. 8 No. 2 (2022): VOLUME 8 ISSUE 2
- Udechukwu P. Egbuhuzor, Nonlinear Dynamic Buckling Behaviour of Viscously Damped Columns on Elastic Foundations Under Step Loading , Communication In Physical Sciences: Vol. 12 No. 6 (2025): Volume 12 ISSUE 6
- Ikenna Duruanyim, Emmanuel Victory Enyinnaya, Ifiok Dominic Ufia, Okoi Ina (Jnr.) Utum, Ayinya Johnathan Attah, Assessment of Resistance of Selected Nigerian Wood Species Treated with Rocket Fungicide and Mimosa pudica Linn. extracts against fungal infestation. , Communication In Physical Sciences: Vol. 12 No. 4 (2025): VOLUME1 2 ISSUE 4
- Muhd Auwal Zubair, Nura Muhammad, Aminu Sabo Muhammad, Abdulrasheed Luqman, Comparative Study on the Effect of Organic and Inorganic Fertilizers on Maize Yield , Communication In Physical Sciences: Vol. 8 No. 4 (2022): VOLUME 8 ISSUE 4
- Forward Nsama, Strategic Development of AI-Driven Supply Chain Resilience Frameworks for Critical U.S. Sectors , Communication In Physical Sciences: Vol. 12 No. 5 (2025): Vol 12 ISSUE 5
You may also start an advanced similarity search for this article.