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On a threshold autoregression with conditional heteroscedastic variances

✍ Scribed by J. Liu; W.K. Li; C.W. Li

Publisher
Elsevier Science
Year
1997
Tongue
English
Weight
1001 KB
Volume
62
Category
Article
ISSN
0378-3758

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✦ Synopsis

This paper considers a time series model with a piecewise linear conditional mean and a piece-wise linear conditional variance which is a natural extension of Tong's threshold autoregressiw~ model. The model has potential applications in modelling asymmetric behaviour in volatility ia the financial market. Conditions for stationarity and ergodicity are derived. Asymptotic properties of the maximum likelihood estimator and two model diagnostic checking statistics are also presented. An illustrative example based on the Hong Kong Hang Seng index is also reported.

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