Analysing CPI inflation by the fractionally integrated ARFIMA-STVGARCH model

Mustapha Belkhouja (1) , Imene Mootamri (1) , Mohamed Boutahar (1)

1 GREQAM - Groupement de Recherche en Économie Quantitative d'Aix-Marseille

The aim of this paper is to study the dynamic evolution of inflation rate. The model is constructed by extending the ARFIMA-GARCH to ARFIMA with a time varying GARCH model where the transition from one regime to another is evolving smoothly over time. We show by Monte Carlo experiments that the constancy parameter tests perform well. We apply then this new model on eight countries from Europe, Japan and Canada and find that this model is appropriate for six among these countries.

Mots clés: ARFIMA model; Generalised autoregressive conditional heteroscedasticity model; Inflation rate; Long memory process; Nonlinear time series; Time-varying parameter mode

Domaines: Economies et finances

Mustapha Belkhouja, Imene Mootamri, Mohamed Boutahar. Analysing CPI inflation by the fractionally integrated ARFIMA-STVGARCH model. 2008. ⟨halshs-00331986v2⟩