Institute of Mathematics and Informatics Bulgarian Academy of Sciences
Abstract
2000 Mathematics Subject Classification: 62M10We supplied the GARCH Zoo with the new model and introduce it in this paper. We named it Split-ARCH. It was empirically motivated by means of the real data set on soybean meal price on the Product exchange. Split-ARCH is the superstructure of the previously known models of GARCH type. We defined volatility exchange to follow sudden and great changes of the price, and volatility also. As far as the log returns of the price are defined as ... with the threshold c>0. Under the stationarity conditions and specified f, we discus the possibilities of estimating parameters in this paper also.Partly supported by grant 1834 MSEP Republic of Serbia
