TARCHThreshold ARCH (AutoRegressive Conditional Heteroskedasticity)
TARCHTape Archive
Copyright 1988-2018 AcronymFinder.com, All rights reserved.
References in periodicals archive ?
Equation 5 is straightforward to estimate via OLS or TARCH, but since the observations are overlapping the number of independent observations is relatively small.
Neste estudo, foram utilizados os modelos GARCH, EGARCH e TARCH, sendo que os melhores ajustes foram o modelo EGARCH (1, 1) para o indice Imex e o modelo TARCH(1, 1) para os indices Ibovespa e Merval.
The results obtained from estimating the TARCH model are shown in equation 2 of Table 1.
Refiriendonos al comportamiento de los errores de estas series financieras, ya que la varianza condicional de las perturbaciones no es constante a lo largo de las observaciones, se utilizaran modelos Autorregresivos Condicionalmente Heterocedasticos (ARCH) y sus derivados como son los modelos GARCH, EGARCH, TARCH e IGARCH.
(4) Since the majority of our estimations, especially crude oil, showed statistically insignificant coefficients for the TARCH terms in the variance equation, we only utilized a TARCH model when the correlogram of squared residuals of the data did not indicate randomness.
The present work used GARCH, GARCH-M, TARCH, TARCH-M, EGARCH and
GARCH Baseline Models CPI CPILEG ARCH 0.09 (0.01) 0.05 (0.00) GARCH 0.923 (0.000) 0.984 (0.00) TARCH -0.08 (0.04) -0.1 (0.00) p-values are in parentheses.
TARCH is the best for the energy and finance sectors.