Stationarity and moment structure for Box-Cox transformed threshold GARCH(1,1) processes
AbstractThis article introduces threshold GARCH(1,1) processes to which Box-Cox transformations are applied. This class of processes includes nonlinear ARCH and GARCH models as special cases. The model accommodates asymmetries in conditional variances through a "threshold". The stationary solution is explicitly obtained and moment structures are investigated.
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Bibliographic InfoArticle provided by Elsevier in its journal Statistics & Probability Letters.
Volume (Year): 68 (2004)
Issue (Month): 3 (July)
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