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

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 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.

Keywords: Forecasting; SETAR; Long-memory; Stock indices; Forecasting. (search for similar items in EconPapers)
Date: 2005
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00179339
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Citations: View citations in EconPapers (9)

Published in Journal of International Financial Markets, Institutions and Money, 2005, 15, pp.391 - 406. ⟨10.1016/j.intfin.2004.09.001⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-00179339

DOI: 10.1016/j.intfin.2004.09.001

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