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| HAL : halshs-00185369, version 1 |
| DOI : 10.1080/09603100600993778 |
| Fiche détaillée |  Export this paper |
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| Applied Financial Economics 18, 7 (2008) 519-526 |
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| Changing-regime volatility: A fractionally integrated SETAR model |
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| Gilles Dufrenot 1Dominique Guegan 2, 3 |
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| (2008-04) |
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| 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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| 1 : | Groupement de Recherche en Économie Quantitative d'Aix-Marseille (GREQAM) |
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Université de la Méditerranée - Aix-Marseille II – Université Paul Cézanne - Aix-Marseille III – Ecole des Hautes Etudes en Sciences Sociales (EHESS) – CNRS : UMR6579 |
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| 2 : | Centre d'économie de la Sorbonne (CES) |
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CNRS : UMR8174 – Université Paris I - Panthéon Sorbonne |
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| 3 : | Ecole d'Économie de Paris - Paris School of Economics (EEP-PSE) |
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Ecole d'Économie de Paris |
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| CERMSEM |
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| Discipline | : | Humanities and Social Sciences/Economy and finances Mathematics/Probability Mathematics/Statistics Statistics/Statistics Theory |
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| SETAR – Long-memory – Stock indices – Forecasting |
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| Liste des fichiers attachés à ce document : | |||||
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| halshs-00185369, version 1 | |
| http://halshs.archives-ouvertes.fr/halshs-00185369 | |
| oai:halshs.archives-ouvertes.fr:halshs-00185369 | |
| Contributeur : Dominique Guegan | |
| Submitted on : Thursday, 6 March 2008 17:56:16 | |
| Updated on : Tuesday, 13 December 2011 17:46:29 | |
