Before revision:  To describe volatility  two of the nonlinear time series are combined into  TAR (Threshold Auto-Regressive Model) with AARCH (Asymmetric Auto- Regressive Conditional Heteroskedasticity) error term and its parameter estimation is studied.
After revision:  To describe volatility two of the nonlinear 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.