Probabilistic properties and estimation methods for periodic threshold autoregressive stochastic volatility

Probabilistic properties and estimation methods for periodic threshold autoregressive stochastic volatility

In an endeavor to encapsulate the dual aspects of volatility progression and periodicity inherent in autocorrelation frameworks demonstrated by various nonlinear time series, a novel conceptualization emerges—the periodic threshold autoregressive stochastic volatility (PTAR-SV) model. This model ser...

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Bibliographic Details
Main Authors: Ahmed Ghezal, Omar Alzeley
Format: Article
Language:English
Published: AIMS Press 2024-03-01
Series:AIMS Mathematics
Subjects:
periodic stochastic volatility
periodic stationarity
threshold autoregressive model
kalman filter
qmle
bayesian mcmc estimation
Online Access:https://www.aimspress.com/article/doi/10.3934/math.2024578?viewType=HTML

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https://www.aimspress.com/article/doi/10.3934/math.2024578?viewType=HTML

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