Changing-regime volatility: A fractionally integrated SETAR model

Anne Peguin-Feissolle (), Gilles Dufrénot () and Dominique Guegan ()
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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
Dominique Guegan: ENS Cachan - Département d'Economie et de Gestion - ENS Cachan - École normale supérieure - Cachan

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Abstract: This paper presents a 2-regime SETAR model with different longmemory 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 ARFIMA 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: 2006
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00410540
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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 (2008)
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