Modelling persistence in the conditional mean of inflation using the ARFIMA process with GARCH and GJR-GARCH innovations : the case of Ghana and South Africa
Alexander Boateng, Maseka Lesaoana, Hlengani Siweya, Abenet Belete and Lius Alberiko Gil-Alana
| Year of publication: |
December 2017
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| Authors: | Boateng, Alexander ; Lesaoana, Maseka ; Siweya, Hlengani ; Belete, Abenet ; Gil-Alaña, Luis A. |
| Published in: |
African review of economics & finance : AREF : (a journal of the African Finance and Economics Consult). - [Erscheinungsort nicht ermittelbar] : UNISA, ISSN 2042-1478, ZDB-ID 2743728-0. - Vol. 9.2017, 2, p. 96-130
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| Subject: | CPI Inflation | Fractional integration | Persistence | Conditional mean | ARFIMA | GARCH | GJR-GARCH models | ARCH-Modell | ARCH model | Inflation | Südafrika | South Africa | Ghana | Zeitreihenanalyse | Time series analysis | Theorie | Theory | ARMA-Modell | ARMA model | Verbraucherpreisindex | Consumer price index | Volatilität | Volatility |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011780438