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Article Dans Une Revue Applied Financial Economics Année : 2008

Changing-regime volatility: A fractionally integrated SETAR model

Résumé

This paper presents a 2-regime SETAR model with different long-memory processes in both regimes. We briefly present the memory properties of this model and propose an estimation method. Such a process is applied to the absolute and squared returns of five stock indices. A comparison with simple FARIMA models is made using some forecastibility criteria. Our empirical results suggest that our model offers an interesting alternative competing framework to describe the persistent dynamics in modeling the returns.
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Dates et versions

halshs-00185369 , version 1 (06-03-2008)

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Gilles Dufrenot, Dominique Guegan, Anne Peguin-Feissolle. Changing-regime volatility: A fractionally integrated SETAR model. Applied Financial Economics, 2008, 18 (7), pp.519-526. ⟨10.1080/09603100600993778⟩. ⟨halshs-00185369⟩
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