Long-memory dynamics in a SETAR model - Applications to stock markets

Gilles Dufrénot (1) , Dominique Guegan (2) , Anne Peguin-Feissolle (1)

1 GREQAM - Groupement de Recherche en Économie Quantitative d'Aix-Marseille
2 IDHE - Institutions et Dynamiques Historiques de l'Economie

This paper presents a 2-regime SETAR model with a long-memory process in the first regime and a short-memory process in the second regime. We briefly introduce the properties of this model and methods for locating the threshold parameter are proposed. Such a process is applied to stock indices and individual asset prices. A comparison with simple FARIMA models is made using some forecastibility criteria.

Mots clés: Forecasting; SETAR; Long-memory; Stock indices; Forecasting.

Domaines: Economies et finances; Probabilités [math.PR]; Statistiques [math.ST]; Théorie [stat.TH]

Gilles Dufrénot, Dominique Guegan, Anne Peguin-Feissolle. Long-memory dynamics in a SETAR model - Applications to stock markets. Journal of International Financial Markets, Institutions and Money, 2005, 15, pp.391 - 406. ⟨10.1016/j.intfin.2004.09.001⟩. ⟨halshs-00179339⟩