NONLINEARITY, VOLATILITY AND FRACTIONAL INTEGRATION IN DAILY OIL PRICES: SMOOTH TRANSITION AUTOREGRESSIVE ST-FI(AP)GARCH MODELS

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dc.contributor.authorBildirici, Melike
dc.contributor.authorErsin, Ozgur Omer
dc.date.accessioned2024-03-13T10:33:40Z
dc.date.available2024-03-13T10:33:40Z
dc.date.issued2014
dc.departmentİstanbul Beykent Üniversitesien_US
dc.description.abstractThe 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 LSTAR-LST-GARCH, LSTAR-LST-FIGARCH, LSTAR-LST-FIPGARCH and LSTAR-LST-FIAPGARCH 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 out-of-sample results suggest that the LSTAR-LST-FIAPGARCH model provides the best forecasting accuracy in terms of RMSE and MSE error criteria.en_US
dc.identifier.endpage135en_US
dc.identifier.issn1582-6163
dc.identifier.issn2537-6071
dc.identifier.issue3en_US
dc.identifier.startpage108en_US
dc.identifier.urihttps://hdl.handle.net/20.500.12662/4094
dc.identifier.volume17en_US
dc.identifier.wosWOS:000342874300007en_US
dc.identifier.wosqualityQ4en_US
dc.indekslendigikaynakWeb of Scienceen_US
dc.language.isoenen_US
dc.publisherInst Economic Forecastingen_US
dc.relation.ispartofRomanian Journal Of Economic Forecastingen_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/closedAccessen_US
dc.subjectvolatilityen_US
dc.subjectoil pricesen_US
dc.subjectLSTAR-LST-GARCHen_US
dc.subjectLSTAR-LST-FIGARCH and LSTAR-LST-FIAPGARCH modelsen_US
dc.titleNONLINEARITY, VOLATILITY AND FRACTIONAL INTEGRATION IN DAILY OIL PRICES: SMOOTH TRANSITION AUTOREGRESSIVE ST-FI(AP)GARCH MODELSen_US
dc.typeArticleen_US

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