Modeling of Volatility with Non-linear Time Series Model
Statistical Finance
2014-07-04 v2 Probability
Statistics Theory
Statistics Theory
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.
Cite
@article{arxiv.1311.1154,
title = {Modeling of Volatility with Non-linear Time Series Model},
author = {Kim Song Yon and Kim Mun Chol},
journal= {arXiv preprint arXiv:1311.1154},
year = {2014}
}
Comments
8 pages