Chen, Cathy W. S.; So, Mike K. P.; Chen, Ming-Tien - In: Journal of Forecasting 24 (2005) 1, pp. 61-75
We propose in this paper a threshold nonlinearity test for financial time series. Our approach adopts reversible-jump Markov chain Monte Carlo methods to calculate the posterior probabilities of two competitive models, namely GARCH and threshold GARCH models. Posterior evidence favouring the...