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Changing-regime volatility: a fractionally integrated SETAR model

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  • Gilles Dufrenot
  • Dominique Guegan
  • Anne Peguin-Feissolle

Abstract

This article 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 to simple ARFIMA 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 modelling the returns.

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File URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600993778
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Bibliographic Info

Article provided by Taylor & Francis Journals in its journal Applied Financial Economics.

Volume (Year): 18 (2008)
Issue (Month): 7 ()
Pages: 519-526

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Handle: RePEc:taf:apfiec:v:18:y:2008:i:7:p:519-526

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  25. repec:ebl:ecbull:v:3:y:2004:i:32:p:1-6 is not listed on IDEAS
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Citations

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Cited by:
  1. Aloy Marcel & Tong Charles Lai & Peguin-Feissolle Anne & Dufrénot Gilles, 2013. "A smooth transition long-memory model," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 17(3), pages 281-296, May.
  2. Mohamed Boutahar & Gilles Dufrénot & Anne Péguin-Feissolle, 2008. "A Simple Fractionally Integrated Model with a Time-varying Long Memory Parameter d t ," Computational Economics, Society for Computational Economics, vol. 31(3), pages 225-241, April.

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