Nonlinear time-series analysis of stock volatilities
股票波动率的非线性时间序列分析
The absolute value of the mean-corrected excess return is used in this paper to measure the volatility of stock returns. We apply various nonlinearity tests available in the literature to show that such volatility series are strongly nonlinear. We then explore the use of threshold autoregressive (TAR) models in describing monthly volatility series. The models built suggest that the volatility series exhibit significant lower-order serial correlations when the volatility is…