Modelling seasonal fractionally integrated process with volatility and structural change

Lawrence Dhliwayo, Florance Matarise and Charles Chimedza

International Journal of Computational Economics and Econometrics, 2024, vol. 14, issue 4, 468-485

Abstract: This study investigates fractionally integrated processes, specifically SARFIMA-GARCH models with structural changes. These models encompass four key aspects of time series data: seasonality, fractional integration, volatility, and structural change. The primary focus of this study is to extend the seasonal structural change detection test for both mean and volatility in a given realisation. The parameters for the seasonal structural change (SSC)-SARFIMA and seasonal structural change (SSC)-GARCH models were derived. Additionally, we establish test statistics that are crucial for assessing the statistical significance of seasonal structural change in a SARFIMA-GARCH model. A simulation study was conducted to demonstrate the reliability of the derived detection procedures.

Keywords: time series analysis; seasonality; fractional integration; structural change; SSC-SARFIMA; SSC-GARCH. (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:ids:ijcome:v:14:y:2024:i:4:p:468-485

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