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Modeling of Volatility with Non-linear Time Series Model
Kim Song Yon, Kim Mun Chol · 2013-11-04 · via math.ST updates on arXiv.org

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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