Empirical Analysis of Stock Returns and Volatility: Evidence from Seven Asian Stock Markets Based on TAR-GARCH Model

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Asymmetrical reaction to US stock-return news: evidence from major stock markets based on a double-threshold model (2003, background): “Studies in the form of weighted-innovation models accounting for asymmetrical effect between positive and negative shocks of stock returns include exponential GARCH (Nelson, 1991; Koutmos and Booth, 1995) and Threshold Autoregressive GARCH models (Glosten et al., 1993, henceforth, GJR; Engle and Ng,”
Point and Interval Forecasting of Spot Electricity Prices: Linear vs. Non-Linear Time Series Models (2006, unknown): “For instance, Chiang and Doong (2001) found that for daily stock returns the GARCH parameters of a TAR-GARCH(1,1) model were highly significant.”
Forecasting East Asian Indices Futures via a Novel Hybrid of Wavelet-PCA Denoising and Artificial Neural Network Models (2016, background): “64% yearly return; Chiang & Doong [72] gained about 15% yearly return performing generalized autoregressive conditional heteroscedasticity.”