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Changing-regime volatility: A fractionally integrated SETAR model

Gilles Dufrénot (), Dominique Guegan () and Anne Peguin-Feissolle
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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 des Ponts ParisTech - 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

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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-00185369
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Citations: View citations in EconPapers (3)

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

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Journal Article: Changing-regime volatility: a fractionally integrated SETAR model (2008) Downloads
Working Paper: Changing-regime volatility: A fractionally integrated SETAR model (2008) Downloads
Working Paper: Changing-regime volatility: A fractionally integrated SETAR model (2008) Downloads
Working Paper: Changing-regime volatility: A fractionally integrated SETAR model (2006) Downloads
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-00185369

DOI: 10.1080/09603100600993778

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