EGARCH models are more successful in capturing inflation uncertainty and its asymmetric behavior than the simple GARCH model …This paper is a first attempt to measure and analyze inflation uncertainty in Pakistan. It makes several contributions … to the literature. In the first stage, using quarterly data from 1976:01 to 2008:02, we model inflation uncertainty as a …

The primary purpose of this study is to model and analyze inflation volatility in ten selected Asian economies. We used … quarterly data of inflation from 1987Q1 to 2008Q4 to model inflation volatility as time varying process through different … symmetric and asymmetric GARCH specifications. We also proposed to model inflation volatility on the basis of cyclic component …

Heteroscedasticity (EGARCH) complemented by seasonal ARIMA (2, 0, 2) (0, 0, 1) was employed to model the inflation uncertainty. Given … on inflation and its uncertainty; it showed that inflation causes inflation uncertainty in Nigeria. The fitted EGARCH …This paper examines the relationship between inflation and inflation uncertainty in Nigeria. It attempts to test …

Heteroscedasticity (EGARCH) complemented by seasonal ARIMA (2, 0, 2) (0, 0, 1) was employed to model the inflation uncertainty. Given … on inflation and its uncertainty; it showed that inflation causes inflation uncertainty in Nigeria. The fitted EGARCH …This paper examines the relationship between inflation and inflation uncertainty in Nigeria. It attempts to test …

In this research paper ARCH-type models are applied in order to estimate the Value-at-Risk (VaR) of an inflation …-index futures portfolio for several time-horizons. The empirical analysis is carried out for Mexican inflation-indexed futures … time horizons. These results have implications for short-term inflation forecasts. By estimating confidence intervals in …

In this paper, I apply univariate and vector autoregressive (VAR) models to forecast inflation in Vietnam. To … properties of inflation in Vietnam. Then, I compute the pseudo out-of-sample root mean square error (RMSE) as a measure of … forecasting models from among the different candidates. I find that VAR_m2 is the best monthly model to forecast inflation in …

situation poses to price stability. We propose to regard the central banker as a risk manager who aims to contain inflation …

-systematic component of inflation modeled autoregressively, where a distortion is caused by a simple first-order bilinear process. The …