Stability Study of Exponential Smooth Transition Double Autoregressive Model with Application

  • 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.
Published
2026-04-14
How to Cite
Abdulqader, D., Mohammad, A., & Mustafa, O. (2026). Stability Study of Exponential Smooth Transition Double Autoregressive Model with Application. Statistics, Optimization & Information Computing. https://doi.org/10.19139/soic-2310-5070-3450
Issue
Online First
Section
Research Articles
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