Asymmetric smooth transition autoregressive model in forecasting finance rate on consumer installment loans at commercial banks
Economic and finance time series are typically asymmetric and are expected to be modeled using asymmetric nonlinear time series models. The logistic smooth transition autoregressive, LSTAR, model which is an asymmetric type of the smooth transition autoregressive, is becoming popular in modeling eco...
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| Format: | Article |
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Shahid Bahonar University of Kerman
2025-01-01
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| Series: | Journal of Mahani Mathematical Research |
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| Online Access: | https://jmmrc.uk.ac.ir/article_4581_e5caa96076b7bfafed94b6a2a79c8823.pdf |
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| author | Sedigheh Zamani Mehreyan |
| author_facet | Sedigheh Zamani Mehreyan |
| author_sort | Sedigheh Zamani Mehreyan |
| collection | DOAJ |
| description | Economic and finance time series are typically asymmetric and are expected to be modeled using asymmetric nonlinear time series models. The logistic smooth transition autoregressive, LSTAR, model which is an asymmetric type of the smooth transition autoregressive, is becoming popular in modeling economic and financial time series. In this paper, we have considered the logistic smooth transition autoregressive model and have estimated unknown parameters based on the method of moment and modified maximum likelihood method. The performance of the proposed estimation methods are studied by simulation and are compared with the performance of maximum likelihood estimators. It shown that for large sample sizes, the modified maximum likelihood estimators usually have the lowest mean square error and bias. We proposed a LSTAR model to finance rate on consumer installment loans at commercial banks and conclude that the estimated LSTAR model based on the modified maximum likelihood method has the lowest value of MSE. |
| format | Article |
| id | doaj-art-153ae82ce84f4d388265ee5dc0c82f0b |
| institution | Kabale University |
| issn | 2251-7952 2645-4505 |
| language | English |
| publishDate | 2025-01-01 |
| publisher | Shahid Bahonar University of Kerman |
| record_format | Article |
| series | Journal of Mahani Mathematical Research |
| spelling | doaj-art-153ae82ce84f4d388265ee5dc0c82f0b2025-01-04T19:30:18ZengShahid Bahonar University of KermanJournal of Mahani Mathematical Research2251-79522645-45052025-01-0114149150410.22103/jmmr.2024.23818.16844581Asymmetric smooth transition autoregressive model in forecasting finance rate on consumer installment loans at commercial banksSedigheh Zamani Mehreyan0Department of Statistics, Imam Khomeini International University, Qazvin, Iran.Economic and finance time series are typically asymmetric and are expected to be modeled using asymmetric nonlinear time series models. The logistic smooth transition autoregressive, LSTAR, model which is an asymmetric type of the smooth transition autoregressive, is becoming popular in modeling economic and financial time series. In this paper, we have considered the logistic smooth transition autoregressive model and have estimated unknown parameters based on the method of moment and modified maximum likelihood method. The performance of the proposed estimation methods are studied by simulation and are compared with the performance of maximum likelihood estimators. It shown that for large sample sizes, the modified maximum likelihood estimators usually have the lowest mean square error and bias. We proposed a LSTAR model to finance rate on consumer installment loans at commercial banks and conclude that the estimated LSTAR model based on the modified maximum likelihood method has the lowest value of MSE. https://jmmrc.uk.ac.ir/article_4581_e5caa96076b7bfafed94b6a2a79c8823.pdfasymmetric modellstar modelmodified maximum likelihoodmethod of momentparameter estimation |
| spellingShingle | Sedigheh Zamani Mehreyan Asymmetric smooth transition autoregressive model in forecasting finance rate on consumer installment loans at commercial banks Journal of Mahani Mathematical Research asymmetric model lstar model modified maximum likelihood method of moment parameter estimation |
| title | Asymmetric smooth transition autoregressive model in forecasting finance rate on consumer installment loans at commercial banks |
| title_full | Asymmetric smooth transition autoregressive model in forecasting finance rate on consumer installment loans at commercial banks |
| title_fullStr | Asymmetric smooth transition autoregressive model in forecasting finance rate on consumer installment loans at commercial banks |
| title_full_unstemmed | Asymmetric smooth transition autoregressive model in forecasting finance rate on consumer installment loans at commercial banks |
| title_short | Asymmetric smooth transition autoregressive model in forecasting finance rate on consumer installment loans at commercial banks |
| title_sort | asymmetric smooth transition autoregressive model in forecasting finance rate on consumer installment loans at commercial banks |
| topic | asymmetric model lstar model modified maximum likelihood method of moment parameter estimation |
| url | https://jmmrc.uk.ac.ir/article_4581_e5caa96076b7bfafed94b6a2a79c8823.pdf |
| work_keys_str_mv | AT sedighehzamanimehreyan asymmetricsmoothtransitionautoregressivemodelinforecastingfinancerateonconsumerinstallmentloansatcommercialbanks |