In this paper nonlinear time series models are used to describe volatility in financial time series data. 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.
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.
R
nonlinear
, non-linear
A
,
R
nonlinear
non-linear
A
form
R
Auto- Regressive
Auto-Regressive