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.

TR Number: 
2003-4
S.Y. Hwang and I.V. Basawa
Key Words: 
Box-Cox transformation, threshold GARCH, Stationary moments, Quasilikelihood estimation

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