This article introduces threshold GARCH (1,1) processes to which Box-Cox transformations are applied. This class of processes included nonlinear ARCH and GARCH models as special cases. The model accommodates asymmetries in conditional variances through a "threshold". The stationary solution is explicitly obtained and moment structures are investigated. Estimation for parameters is also discussed.
Stationarity and Moment Structure for Box-Cox Transformed Threshold Garch (1,1) Processes