Document Type

Conference Paper

Publication Date


Publication Details

Gibson, David; and Nur, Darfiana, Threshold Autoregressive Models in Finance: A Comparative Approach, Proceedings of the Fourth Annual ASEARC Conference, 17-18 February 2011, University of Western Sydney, Paramatta, Australia.


Financial instruments are known to exhibit abrupt and dramatic changes in behaviour. This paper investigates the relative efficacy of two-regime threshold autoregressive (TAR) models and smooth threshold autoregressive (STAR) models, applied successfully to econometric dynamics, in the finance domain. The nature of this class of models is explored in relation to the conventional linear modeling approach, with reference to simulated data and real stock return indices.