Modelling squared returns using a SETAR model with long-memory dynamics

Gilles Dufrénot (), Dominique Guegan () and Anne Peguin-Feissolle
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Dominique Guegan: IDHE - Institutions et Dynamiques Historiques de l'Economie - ENS Cachan - École normale supérieure - Cachan - UP1 - Université Paris 1 Panthéon-Sorbonne - UP8 - Université Paris 8 Vincennes-Saint-Denis - UPN - Université Paris Nanterre - CNRS - Centre National de la Recherche Scientifique
Anne Peguin-Feissolle: GREQAM - Groupement de Recherche en Économie Quantitative d'Aix-Marseille - EHESS - École des hautes études en sciences sociales - AMU - Aix Marseille Université - ECM - École Centrale de Marseille - CNRS - Centre National de la Recherche Scientifique

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Abstract: This paper presents a 2-regime SETAR model for the volatility with a long-memory process in the first regime and a short-memory process in the second regime. Persistence properties are studied and estimation methods are proposed. Such a process is applied to stock indices and individual asset prices.

Keywords: SETAR; Long-memory; FARIMA models; Stock indices (search for similar items in EconPapers)
Date: 2005
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00179285
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Citations: View citations in EconPapers (8)

Published in Economics Letters, 2005, 86, pp.237-243. ⟨10.1016/j.econlet.2004.07.014⟩

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Journal Article: Modelling squared returns using a SETAR model with long-memory dynamics (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-00179285

DOI: 10.1016/j.econlet.2004.07.014

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