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arXiv · 1311.1154

Modeling of Volatility with Non-linear Time Series Model

Kim Song Yon·Kim Mun Chol
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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.

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BibTeXRIS

Kim Song Yon, Kim Mun Chol. 2014-07-03. Modeling of Volatility with Non-linear Time Series Model. https://arxiv.org/abs/1311.1154

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