Modelling squared returns using a SETAR model with long-memory dynamics
This paper presents a 2-regime SETAR model for the volatility with a long-memory process in the first regime and a short-memory process in the second regime. Persistence properties are studied and estimation methods are proposed. Such a process is applied to stock indices and individual asset prices.
|Date of creation:||2005|
|Date of revision:|
|Publication status:||Published, Economic Letters, 2005, 86, 237-243|
|Note:||View the original document on HAL open archive server: http://halshs.archives-ouvertes.fr/halshs-00179285/en/|
|Contact details of provider:|| Web page: https://hal.archives-ouvertes.fr/|
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