An Experiment on Autoregressive and Threshold Autoregressive Models with Non-Gaussian Error with Application to Realized Volatility
This article explores the fitting of Autoregressive (AR) and Threshold AR (TAR) models with a non-Gaussian error structure. This is motivated by the problem of finding a possible probabilistic model for the realized volatility. A Gamma random error is proposed to cater for the non-negativity of the...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2019-06-01
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| Series: | Economies |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2227-7099/7/2/58 |