Stability Study of Exponential Smooth Transition Double Autoregressive Model with Application

Authors

  • Dler Abdulqader Tikrit University
  • Azher Mohammad Tikrit University
  • Omar Mustafa Tikrit University

DOI:

https://doi.org/10.19139/soic-2310-5070-3450

Keywords:

ARCH, Double Autoregressive (DAR) model, Exponential Smooth Transition Double Autoregressive (EXPSTDAR), Local linearization approach, non-zero singular point, conditional variance

Abstract

In this research, we propose a novel non-linear time series model referred to as the Exponential Smooth TransitionDouble Autoregressive Model of order p denoted as EXPSTDAR (p). This model is predicated on the double autoregressiveframework and incorporates an exponential function. Through the application of a local linearization technique, we derivea stability condition for a non-zero singular point of the model. And applying these conditions to the acquired models bymodeling real data that represents a weekly average closing price of Iron ore powder in dollars for the period from October2010 to May 2025 for several suggested orders of the model.

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Published

2026-04-14

Issue

Online First

Section

Research Articles

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How to Cite

Stability Study of Exponential Smooth Transition Double Autoregressive Model with Application. (2026). Statistics, Optimization & Information Computing. https://doi.org/10.19139/soic-2310-5070-3450