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Modelisation Semifarma-Hygarch De La Persistance Du Cours Du Dow Jones

Author

Listed:
  • MOHAMED CHIKHI
  • ANNE PEGUIN-FEISSOLLE
  • MICHEL TERRAZA

Abstract

Cet article analyse le comportement cyclique du cours du Dow Jones et notamment ses propriétés de mémoire longue à travers une nouvelle classe de modèles ARFIMA semiparamétriques avec erreurs GARCH hyperboliques, notée SEMIFARMA-HYGARCH ; cette classe inclut une tendance déterministe non paramétrique, une tendance stochastique, la dépendance à court et à long terme ainsi que le terme d’erreur hétéroscédastique à mémoire longue. Nous étudions les rendements journaliers du Dow Jones de 1896 à 2006. Les résultats prédictifs montrent que les chocs informationnels ont des conséquences durables sur la volatilité et que le modèle SEMIFARMA-HYGARCH possède une supériorité évidente sur d’autres modèles pour des horizons longs et/ou courts. Une des conclusions est que l’hypothèse d’efficience faible des marchés financiers semble violée pour la série des rentabilités de Dow Jones étudiées sur longue période.

Suggested Citation

  • Mohamed Chikhi & Anne Peguin-Feissolle & Michel Terraza, 2012. "Modelisation Semifarma-Hygarch De La Persistance Du Cours Du Dow Jones," Working Papers 12-06, LAMETA, Universtiy of Montpellier, revised Jan 2012.
  • Handle: RePEc:lam:wpaper:12-06
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    File URL: http://www.lameta.univ-montp1.fr/Documents/DR2012-06.pdf
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