1851-2013 by estimating a multivariate ARFIMA-FIGARCH model (with the unemployment rate and inflation as explanatory …

The estimation of inflation volatility is important to Central Banks as it guides their policy initiatives for … Heteroscedasticity (GARCH) family with a view to providing a parsimonious approximation to the dynamics of Nigeria's inflation volatility … for food CPI. The results are quite revealing. Firstly, model outcomes indicate high persistence parameters for the core …

applied to quarterly and monthly US inflation in an empirical study. We find that the persistence of quarterly inflation has … the observed time series. We develop a simulated maximum likelihood estimation method based on importance sampling and … and density forecasts for monthly US inflation. …