Modelling squared returns using a SETAR model with long-memory dynamics

This paper presents a 2-regime SETAR model for the volatility with a long-memory process in the first regime and a short-memory process in the second regime. Persistence properties are studied and estimation methods are proposed. Such a process is applied to stock indices and individual asset prices.

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Year of publication:	2005
Authors:	Dufrénot, Gilles ; Guegan, Dominique ; Peguin-Feissolle, Anne
Institutions:	HAL
Subject:	SETAR \| Long-memory \| FARIMA models \| Stock indices

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Extent:	application/pdf
Series:	Post-Print.
Type of publication:	Book / Working Paper
Language:	English
Notes:	View the original document on HAL open archive server: http://halshs.archives-ouvertes.fr/halshs-00179285/en/ Published, Economic Letters, 2005, 86, 237-243
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008793159