A simple fractionally integrated model with a time-varying long memory parameter dt

Mohamed Boutahar (1) , Gilles Dufrénot (1) , Anne Peguin-Feissolle (1)

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

This paper generalizes the standard long memory modeling by assuming that the long memory parameter d is stochastic and time-varying: we introduce a STAR process on this parameter characterized by a logistic function. We propose an estimation method of this model. Some simulation experiments are conducted. The empirical results suggest that this new model offers an interesting alternative competing framework to describe the persistent dynamics in modeling some financial series.

Mots clés: Algorithms; Design; Performance; Logistic function; Long-memory; STAR

Domaines: Economies et finances

Mohamed Boutahar, Gilles Dufrénot, Anne Peguin-Feissolle. A simple fractionally integrated model with a time-varying long memory parameter dt. Computational Economics, 2008, 31 (Issue 3 (April 2008)), pp.225 - 241. ⟨10.1007/s10614-007-9115-1⟩. ⟨halshs-00390136⟩