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Power transformation and threshold modeling for ARCH innovations with applications to tests for ARCH structure

Listed author(s):
  • Hwang, S. Y.
  • Kim, Tae Yoon
Registered author(s):

    A new class of power-transformed threshold ARCH models is proposed as a threshold-asymmetric generalization of the nonlinear ARCH considered by Higgins and Bera [Internat. Econom. Rev. 33 (1992) 137]. This class is rich enough to include diverse nonlinear and nonsymmetric ARCH models which have been spelled out in the literature. Geometric ergodicity of the model and existence of stationary moments are studied. The model facilitates discussing ARCH structures and hence large sample tests for ARCH structures are investigated via local asymptotic normality approach. Semiparametric tests are also discussed for the case when the error density is unknown.

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    File URL: http://www.sciencedirect.com/science/article/pii/S0304-4149(03)00176-5
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    Article provided by Elsevier in its journal Stochastic Processes and their Applications.

    Volume (Year): 110 (2004)
    Issue (Month): 2 (April)
    Pages: 295-314

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    Handle: RePEc:eee:spapps:v:110:y:2004:i:2:p:295-314
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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.
    2. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
    3. Higgins, Matthew L & Bera, Anil K, 1992. "A Class of Nonlinear ARCH Models," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 33(1), pages 137-158, February.
    4. Rabemananjara, R & Zakoian, J M, 1993. "Threshold Arch Models and Asymmetries in Volatility," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(1), pages 31-49, Jan.-Marc.
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