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Threshold ARCH(1) processes: asymptotic inference

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  • Hwang, S. Y.
  • Woo, Mi-Ja

Abstract

This article discusses large sample inference problems for a first-order ARCH(1) process where threshold appears not only in the mean but also in the variance function. Geometric ergodicity of the process is discussed. Least-squares estimators of parameters are derived and relevant limit results are obtained. Also, the uniform local asymptotic normality of the log-likelihood ratio and a class of efficient estimators are briefly discussed. The model is applied to Korean financial time series.

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  • Hwang, S. Y. & Woo, Mi-Ja, 2001. "Threshold ARCH(1) processes: asymptotic inference," Statistics & Probability Letters, Elsevier, vol. 53(1), pages 11-20, May.
    • Handle: RePEc:eee:stapro:v:53:y:2001:i:1:p:11-20
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    References listed on IDEAS

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    1. Li, C W & Li, W K, 1996. "On a Double-Threshold Autoregressive Heteroscedastic Time Series Model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(3), pages 253-274, May-June.
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    3. An, Hongzhi & Chen, Min & Huang, Fuchun, 1997. "The geometric ergodicity and existence of moments for a class of non-linear time series model," Statistics & Probability Letters, Elsevier, vol. 31(3), pages 213-224, January.
    4. An, H. Z. & Chen, S. G., 1997. "A note on the ergodicity of non-linear autoregressive model," Statistics & Probability Letters, Elsevier, vol. 34(4), pages 365-372, June.
    5. Paul D. Feigin & Richard L. Tweedie, 1985. "Random Coefficient Autoregressive Processes:A Markov Chain Analysis Of Stationarity And Finiteness Of Moments," Journal of Time Series Analysis, Wiley Blackwell, vol. 6(1), pages 1-14, January.
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    Cited by:

    1. Hwang, S. Y. & Basawa, I. V., 2004. "Stationarity and moment structure for Box-Cox transformed threshold GARCH(1,1) processes," Statistics & Probability Letters, Elsevier, vol. 68(3), pages 209-220, July.
    2. Levine, Michael & Li, Jinguang (Tony), 2012. "A simple additivity test for conditionally heteroscedastic nonlinear autoregression," Computational Statistics & Data Analysis, Elsevier, vol. 56(8), pages 2421-2429.
    3. Felix Chan & Michael McAleer & Marcelo C. Medeiros, 2015. "Structure and asymptotic theory for nonlinear models with GARCH erros," Economia, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics], vol. 16(1), pages 1-21.
    4. Liu, Ji-Chun, 2007. "Stationarity for a Markov-switching Box-Cox transformed threshold GARCH process," Statistics & Probability Letters, Elsevier, vol. 77(13), pages 1428-1438, July.
    5. Liu, Ji-Chun, 2006. "On the tail behaviors of Box-Cox transformed threshold GARCH(1,1) process," Statistics & Probability Letters, Elsevier, vol. 76(13), pages 1323-1330, July.

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