On buffered threshold GARCH models

Pak Hang LO, Wai Keung LI, Leung Ho Philip YU, Guodong LI

Research output: Contribution to journalArticlespeer-review

7 Citations (Scopus)


This paper proposes a conditional heteroscedastic model with a new piecewise linear structure such that the regime-switching mechanism has a buffer zone where regime-switching is delayed. Gaussian quasi-maximum likelihood estimation (QMLE) is considered, and its asymptotic behaviors, including strong consistency and the asymptotic distribution, are derived. Its finite sample performance is evaluated by Monte Carlo simulation experiments, and an empirical example is reported to give further support to the new model. Copyright © 2016 Institute of Statistical Science.
Original languageEnglish
Pages (from-to)1555-1567
JournalStatistica Sinica
Publication statusPublished - Oct 2016


Lo, P. H., Li, W. K., Yu, P. L. H., & Li, G. (2016). On buffered threshold GARCH models. Statistica Sinica, 26, 1555-1567. doi: 10.5705/ss.2014.098t


  • Buffered threshold model
  • GARCH model
  • QMLE
  • Threshold model


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