The aim of this paper is to study the dynamic evolution of inflation rate. The model is constructed by extending the ARFIMA-GARCH to ARFIMA with a time varying GARCH model where the transition from one regime to another is evolving smoothly over time. We show by Monte Carlo experiments that the...

This paper investigates long-memory behaviour of stock returns of Egypt, Tunisa and Morrocco stock markets using daily stock price data. Results in the paper support evidence of stationary short-memory process for the returns of the three markets. Short memory of stock returns implies that most...

This paper investigates long-memory behaviour of stock returns of Egypt, Tunisa and Morrocco stock markets using daily stock price data. Results in the paper support evidence of stationary short-memory process for the returns of the three markets. Short memory of stock returns implies that most...