On buffered threshold GARCH models

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.