I'm trying to fit an Threshold regression modelo to evaluate if the values of my Y variable variates across a value of a Threshold variable (X). However, I'm working with daily data and It looks like the residuals present Heteroskedasticity. I already fit the Threshold regression with Heteroskedasticity consistent robust standard errors but I'm wondering if it's possible yo add ARCH effects to the Threshold regression in R.
I don't know if it's possible or what do you guys recommend in this case?
I appreciate your attention