Threshold arch models and asymmetries in volatility
扩展了Zakoian(1991)提出的阈值异方差模型(TARCH)，放宽了条件方差参数的正性约束，允许正负冲击对波动率产生不同影响，并用法国股票收益率提供了实证证据。
Abstract This paper attempts to enlarge the class of Threshold Heteroscedastic Models (TARCH) introduced by Zakoían (1991a). We show that it is possible to relax the positivity constraints on the parameters of the conditional variance. Unconstrained models provide a greater generality of the paths allowing for nonlinearities in the volatility. Cyclical behaviour is permitted as well as different relative impacts of positive and negative shocks on volatility, depending on their size. We give empirical evidence using French stock returns.