TARCH

AcronymDefinition
TARCHThreshold ARCH (AutoRegressive Conditional Heteroskedasticity)
TARCHTape Archive
References in periodicals archive ?
This section provides a brief overview of the traditional GARCH and TARCH models, as well as these models using range-based volatility as an exogenous variable.
Autores Series Periodo Modelos financeiras Goulart, Amaral, Taxas de cambio 20/08/2001 a EWMA, GARCH, Bertucci e praticadas no 30/09/2003 EGARCH e TARCH Bressan (2005) mercado interbancario brasileiro Wennstrom OMX Stockholm 02/01/2002 a MA, MA (2014) 30, OMX 15/04/2014 exponencial, Copenhagen 20 e ARCH, GARCH, OMX Helsinki 25 EGARCH e GJR-GARCH Catania e Asia/Pacifico 31/12/1991 APARCH, Bernardi 600, America a AVGARCH, (2015) do Norte 600, 24/07/2014 CGARCH, Europa 600 e EGARCH, Global 1800 GARCH, GAS, GJR-GARCH, NGARCH e TGARCH Ceretta, Ibovespa 15/06/2009 Barba, a Vieira e 27/08/2009 APARCH Casarin (2011) Autores D.
t] es un termino independiente que se distribuye segun una distribucion normal con medio cero y varianza unitaria, [gamma] es el umbral perteneciente al modelo TARCH que tiene valor 1 si [[epsilon].
Na estimacao modelo TARCH (1,1) para as duas series, os resultados de persistencia confirmam os resultados dos modelos anteriores com valores proximos de 1, sendo respectivamente 0,8013 e 0,8466 paras series do SMLL e IVBX-2.
Una modificacion de GARCH se debe a Glosten, Jagannathan y Runkle (1993), el GJR o TARCH (Threshold ARCH) que modela la varianza condicional para responder a los cambios de signos:
Specifically, the conditional variance follows TARCH model with asymmetry order one.
La significancia sobre los parametros de asimetria de los modelos EGARCH y TARCH sugiere la existencia del efecto apalancamiento.
Five heteroskedasticity models were applied to the national market: GARCH (1,1), EGARCH (1,1), TARCH (1,1), IGARCH (1,1), PARCH (1,1) from which the best models are selected for each company from the Main and Secondary lists and for OMXV index.
An extension to the basic GARCH model that allows for such asymmetry is known as the Threshold-GARCH or TARCH model (Glosten, Jagannathan, and Runkle 1993).
This study uses the Autoregressive Conditional Heteroskedasticity (ARCH) models and its extension, the Generalized ARCH, EGARCH and TARCH models was used to find out the presence of the stock market volatility on Indian stock market.