Modeling of Volatility with Non-linear Time Series Model

Kim Song Yon and Kim Mun Chol

Papers from arXiv.org

Abstract: In this paper, non-linear time series models are used to describe volatility in financial time series data. To describe volatility, two of the non-linear time series are combined into form TAR (Threshold Auto-Regressive Model) with AARCH (Asymmetric Auto-Regressive Conditional Heteroskedasticity) error term and its parameter estimation is studied.

Date: 2013-11, Revised 2014-07
New Economics Papers: this item is included in nep-ecm and nep-ets
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1311.1154

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