Belkhouja, Mustapha; Mootamri, Imene; Boutahar, Mohamed - HAL - 2008
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...