A statistical model is autoregressive if it predicts future values based on past values (i.e., predicting future stock prices based on past performance).

The generalized autoregressive conditional heteroskedasticity (GARCH) process is an econometric term used to describe an approach to estimate volatility in financial markets.

In Hannan (1980), some limiting properties of the order selection criteria, AIC, BIC, and φ(p, q) for modeling stationary time series were derived. In this paper, we generalize these properties to the ...

We evaluate the performance of two leading non-linear models in forecasting post-war US GNP, the self-exciting threshold autoregressive model and the Markov-switching autoregressive model. Two methods ...