On Asymmeticity for Power Transformed TARCH Model
- Authors
- 김삼용; 이성덕; 정애란
- Issue Date
- Jun-2005
- Publisher
- 한국데이터정보과학회
- Keywords
- 멱변환 TARCH 모형; 모의실험; 비대칭성; 비선형 ARCH 모형; 이분산성 모형
- Citation
- 한국데이터정보과학회지, v.16, no.2, pp 271 - 281
- Pages
- 11
- Journal Title
- 한국데이터정보과학회지
- Volume
- 16
- Number
- 2
- Start Page
- 271
- End Page
- 281
- URI
- https://scholarworks.bwise.kr/cau/handle/2019.sw.cau/28156
- ISSN
- 1598-9402
- Abstract
- Zokian(1993) and Li and Li(1996) developed TARCH(Threshold ARCH) model, considering the asymmetries in volatility. The models are based on Engle(1982)’s ARCH model and Bollerslev(1986)’s GARCH model. However, two TARCH models can be expressed a common model through BoxCox Powertransformation, which was used by Higgins and Bera(1992) for developing NARCH(nonlinear ARCH) model.This article shows the PTARCH(Powertransformation TARCH) model is necessary in some condition, and it checks the fact that PTARCH model has better performance comparing estimates and RMSE(Root Mean Square Error) with those of Zakoian’s TARCH model and Li and Li’s TARCH model.PTARCH model would give contribution in asymmetric study as well as heteroscedastic study.
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