Changing-regime volatility: A fractionally integrated SETAR model
Article dans une revue: This paper presents a 2-regime SETAR model with different long-memory processes in both regimes. We briefly present the memory properties of this model and propose an estimation method. Such a process is applied to the absolute and squared returns of five stock indices. A comparison with simple FARIMA models is made using some forecastibility criteria. Our empirical results suggest that our model offers an interesting alternative competing framework to describe the persistent dynamics in modeling the returns.
Auteur(s)
Gilles Dufrenot, Dominique Guegan, Anne Peguin-Feissolle
Revue
- Applied Financial Economics
Date de publication
- 2008
Mots-clés
- SETAR
- Long-memory
- Stock indices
- Forecasting
Pages
- 519-526
URL de la notice HAL
Version
- 1
Volume
- 18