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TARCHThreshold ARCH (AutoRegressive Conditional Heteroskedasticity)
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References in periodicals archive ?
"Threshold Arch Models and Asymmetries in Volatility." Journal of Applied Econometrics January/March, 8: 1, pp.
Some of the further extensions suggested in the literature are as follows: exponential GARCH (EGARCH) model by Nelson (1991); non-linear ARCH (NARCH) model by Higgins and Bera (1992); asymmetric model by Glosten, Jaganathan and Runkle (1993); asymmetric power (APARCH) model by Ding, Granger and Engle (1993); and threshold ARCH (TARCH) model by Zakoian (1994).
Threshold ARCH (TARCH) model was first developed by Zakoian in 1990.
Using a Threshold ARCH model, the authors show that negative inflationary shocks will cause increased inflation uncertainty compared to positive shocks.
M., 1993, Threshold ARCH models and Asymmetries in Volatility, Journal of Applied Econometrics, 8, 31-49.