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Analysing CPI inflation by the fractionally integrated ARFIMA-STVGARCH model

Author

Listed:
  • Mustapha Belkhouja

    () (GREQAM - Groupement de Recherche en Économie Quantitative d'Aix-Marseille - ECM - Ecole Centrale de Marseille - CNRS - Centre National de la Recherche Scientifique - AMU - Aix Marseille Université - EHESS - École des hautes études en sciences sociales)

  • Imene Mootamri

    () (GREQAM - Groupement de Recherche en Économie Quantitative d'Aix-Marseille - ECM - Ecole Centrale de Marseille - CNRS - Centre National de la Recherche Scientifique - AMU - Aix Marseille Université - EHESS - École des hautes études en sciences sociales)

  • Mohamed Boutahar

    () (GREQAM - Groupement de Recherche en Économie Quantitative d'Aix-Marseille - ECM - Ecole Centrale de Marseille - CNRS - Centre National de la Recherche Scientifique - AMU - Aix Marseille Université - EHESS - École des hautes études en sciences sociales)

Abstract

The 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.

Suggested Citation

  • Mustapha Belkhouja & Imene Mootamri & Mohamed Boutahar, 2008. "Analysing CPI inflation by the fractionally integrated ARFIMA-STVGARCH model," Working Papers halshs-00331986, HAL.
  • Handle: RePEc:hal:wpaper:halshs-00331986
    Note: View the original document on HAL open archive server: https://halshs.archives-ouvertes.fr/halshs-00331986v2
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    Keywords

    ARFIMA model; Generalised autoregressive conditional heteroscedasticity model; Inflation rate; Long memory process; Nonlinear time series; Time-varying parameter mode;

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