*3.2. Empirical Data Analysis*

The realized volatilities of 30 stocks traded on the New York Stock Exchange (NYSE) were tested by the proposed models. Please kindly refer to Appendix A–C for the best model selected by the AIC, BIC, and the final model.

From the results, the AR/TAR model seemed to be a good fit for around 33% of the cases, with almost all of the final models having a threshold structure and a marginally good fit for another 10% of the cases, where the Ljung–Box test was marginally significant. This demonstrates that, overall, the proposed model has the potential to explain a little less than half of the empirical data, in this case, and further investigation, through other data sets or improved fitting algorithms, is worthwhile.
