Analysing CPI inflation by the fractionally integrated ARFIMA-STVGARCH model

Mustapha Belkhouja (), Imene Mootamri () and Mohamed Boutahar
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Mustapha Belkhouja: 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
Imene Mootamri: 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: 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.

Keywords: ARFIMA model; Generalised autoregressive conditional heteroscedasticity model; Inflation rate; Long memory process; Nonlinear time series; Time-varying parameter mode (search for similar items in EconPapers)
Date: 2008-11-04
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00331986v2
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