Modelling squared returns using a SETAR model with long-memory dynamics

Gilles Dufrénot (1) , Dominique Guegan (2) , Anne Peguin-Feissolle (1)

1 GREQAM - Groupement de Recherche en Économie Quantitative d'Aix-Marseille
2 IDHE - Institutions et Dynamiques Historiques de l'Economie

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.

Mots clés: SETAR; Long-memory; FARIMA models; Stock indices

Domaines: Economies et finances; Probabilités [math.PR]; Statistiques [math.ST]; Théorie [stat.TH]

Gilles Dufrénot, Dominique Guegan, Anne Peguin-Feissolle. Modelling squared returns using a SETAR model with long-memory dynamics. Economics Letters, 2005, 86, pp.237-243. ⟨10.1016/j.econlet.2004.07.014⟩. ⟨halshs-00179285⟩