The paper: “The threshold GARCH model: estimation and density forecasting for financial returns” has been accepted in the Journal of Financial Econometrics.
The paper is co-authored by Yuzhi Cai, Department of Accounting and Finance, School of Management, Swansea University, and Julian Stander.
Yuzhi Cai used to work at the University of Plymouth.
The paper presents a new method for modelling and predicting financial returns, and for understanding the uncertainty associated with predictions. This method is applied to Hang Seng and S&P500 daily closing indices, and outperforms existing prediction techniques.