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Abstract Details
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Activity Number:
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133
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Type:
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Contributed
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Date/Time:
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Monday, July 30, 2012 : 8:30 AM to 10:20 AM
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Sponsor:
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Business and Economic Statistics Section
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| Abstract - #304235 |
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Title:
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Is the TAR Model Useful for Analyzing Financial Time Series?
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Author(s):
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Fabio H. Nieto*+ and Edna Carolina Moreno
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Companies:
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Universidad Nacional de Colombia and Universidad Santo Tomás
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Address:
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Carrera 72D # 2A-57, Bogota, , Colombia
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Keywords:
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Autocorrelation of squared residuals ;
Conditional variance ;
Financial time series ;
GARCH models ;
Nonlinear time series ;
TAR models
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Abstract:
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The performance of a TAR model in explaining the main stylized facts of financial returns is investigated by means of simulated examples and real data applications. It is concluded that not all of their empirical characteristics can be explained by a TAR model; only, the presence of large-value clusters, heavy tails, and nonnormality. Although TAR processes tend to have sample paths for which their squares and absolute values are autocorrelated, this characteristic is not explained by leptokurtic distributions, but by the nonlinear behavior of the process. As a byproduct of this research, sufficient conditions for weakly stationarity of a TAR process and the component types of the marginal mixture distribution of the interest variable were found.
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