Changing-regime volatility: A fractionally integrated SETAR model

Gilles Dufrénot (), Dominique Guegan () and Anne Peguin-Feissolle
Additional contact information
Dominique Guegan: CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique, PSE - Paris School of Economics - UP1 - Université Paris 1 Panthéon-Sorbonne - ENS-PSL - École normale supérieure - Paris - PSL - Université Paris Sciences et Lettres - EHESS - École des hautes études en sciences sociales - ENPC - École nationale des ponts et chaussées - CNRS - Centre National de la Recherche Scientifique - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement
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

Post-Print from HAL

Abstract: This paper presents a 2-regime SETAR model with different long-memory processes in both regimes. We briefly present the memory properties of this model and propose an estimation method. Such a process is applied to the absolute and squared returns of five stock indices. A comparison with simple FARIMA models is made using some forecastibility criteria. Our empirical results suggest that our model offers an interesting alternative competing framework to describe the persistent dynamics in modeling the returns.

Keywords: SETAR; Long-memory; Stock indices; Forecasting (search for similar items in EconPapers)
Date: 2008-04
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00185369v1
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Published in Applied Financial Economics, 2008, 18 (7), pp.519-526. ⟨10.1080/09603100600993778⟩

Downloads: (external link)
https://shs.hal.science/halshs-00185369v1/document (application/pdf)

Related works:
Working Paper: Changing-regime volatility: A fractionally integrated SETAR model (2008)
Working Paper: Changing-regime volatility: A fractionally integrated SETAR model (2008)
Working Paper: Changing-regime volatility: A fractionally integrated SETAR model (2006)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-00185369

DOI: 10.1080/09603100600993778

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().