%0 Journal Article
%T Modeling of Volatility with Non-linear Time Series Model
%A Kim Song Yon
%A Kim Mun Chol
%J Quantitative Finance
%D 2013
%I arXiv
%X In this paper, non-linear time series models are used to describe volatility in financial time series data. To describe volatility, two of the non-linear time series are combined into form TAR (Threshold Auto-Regressive Model) with AARCH (Asymmetric Auto-Regressive Conditional Heteroskedasticity) error term and its parameter estimation is studied.
%U http://arxiv.org/abs/1311.1154v2