Analysing CPI inflation by the fractionally integrated ARFIMA-STVGARCH model
AbstractThe 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 constancy parameter tests perform well. We apply then this new model on eight countries from Europe, Japan and Canada and find that this model is appropriate for six among these countries.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by HAL in its series Working Papers with number halshs-00331986.
Date of creation: 20 Oct 2008
Date of revision:
Note: View the original document on HAL open archive server: http://halshs.archives-ouvertes.fr/halshs-00331986/en/
Contact details of provider:
Web page: http://hal.archives-ouvertes.fr/
ARFIMA model; Generalised autoregressive conditional heteroscedasticity model; Inflation rate; Long memory process; Nonlinear time series; Time-varying parameter mode;
This paper has been announced in the following NEP Reports:
- NEP-ALL-2008-10-28 (All new papers)
- NEP-CBA-2008-10-28 (Central Banking)
- NEP-ECM-2008-10-28 (Econometrics)
- NEP-ETS-2008-10-28 (Econometric Time Series)
- NEP-MAC-2008-10-28 (Macroeconomics)
- NEP-MON-2008-10-28 (Monetary Economics)
You can help add them by filling out this form.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (CCSD).
If references are entirely missing, you can add them using this form.