Chikhi, Mohamed; Péguin-Feissolle, Anne; Terraza, Michel - In: Computational Economics 41 (2013) 2, pp. 249-265
semiparametric ARFIMA models with HYGARCH errors (SEMIFARMA-HYGARCH); this class includes nonparametric deterministic trend … Dow Jones from 1896 to 2006. We estimate several models and we find that the coefficients of the SEMIFARMA-HYGARCH model … forecasting results show that the informational shocks have permanent effects on volatility and the SEMIFARMA-HYGARCH model has …