Threshold Autoregressive Conditional Heteroskedasticity
GPTKB entity
Statements (21)
| Predicate | Object |
|---|---|
| gptkbp:instanceOf |
statistical analysis
|
| gptkbp:abbreviation |
gptkb:TARCH
|
| gptkbp:analyzes |
conditional heteroskedasticity
|
| gptkbp:appliesTo |
time series data
|
| gptkbp:capturedBy |
asymmetric effects
|
| gptkbp:generalizes |
gptkb:ARCH_model
gptkb:GARCH_model |
| gptkbp:hasModel |
volatility
|
| https://www.w3.org/2000/01/rdf-schema#label |
Threshold Autoregressive Conditional Heteroskedasticity
|
| gptkbp:introduced |
gptkb:Glosten
gptkb:Zakoian |
| gptkbp:introducedIn |
1993
|
| gptkbp:parameter |
lag order
asymmetry parameter threshold parameter |
| gptkbp:relatedTo |
gptkb:ARCH_model
gptkb:GARCH_model |
| gptkbp:usedIn |
finance
econometrics |
| gptkbp:bfsParent |
gptkb:TARCH
|
| gptkbp:bfsLayer |
7
|