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In this paper we fit non-linear models. We build Threshold Autoregressive (TAR) and Generalized Autoregressive Conditional Heteroskedasticity (GARCH) models and estimate the parameters associated to the models, e.g. the threshold for the TAR model. The TAR and the GARCH model concept are applied to simulated data and to three empirical datasets, two River flow time series and one Blowfly data set.
