Article ID Journal Published Year Pages File Type
9549376 Economics Letters 2005 7 Pages PDF
Abstract
This paper presents a two-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.
Keywords
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
Preview
Modelling squared returns using a SETAR model with long-memory dynamics
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