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A long memory model with mixed normal GARCH for US inflation data
Cheung, Yin-wong; Chung, Sang-Kuck - 2009
We introduce a time series model that captures both long memory and conditional heteroskedasticity and assess their ability to describe the US inflation data. Specifically, the model allows for long memory in the conditional mean formulation and uses a normal mixture GARCH process to...
Persistent link: https://www.econbiz.de/10010287778
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A long memory model with mixed normal GARCH for US inflation data
Cheung, Yin-Wong; Chung, Sang-Kuck - 2009
We introduce a time series model that captures both long memory and conditional heteroskedasticity and assess their ability to describe the US inflation data. Specifically, the model allows for long memory in the conditional mean formulation and uses a normal mixture GARCH process to...
Persistent link: https://www.econbiz.de/10010288125
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Contemporaneous-Threshold Smooth Transition GARCH Models
Dueker, Michael; Psaradakis, Zacharias; Sola, Martin; … - Departamento de Economía, Universidad Torcuato Di Tella - 2009
This paper proposes a contemporaneous-threshold smooth transition GARCH (or CSTGARCH) model for dynamic conditional heteroskedasticity. The C-STGARCH model is a generalization to second conditional moments of the contemporaneous smooth transition threshold autoregressive model of Dueker et al....
Persistent link: https://www.econbiz.de/10005041760
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A functional approach to test trending volatility
Guerrero Escobar, Santiago; Hernández del Valle, Gerardo; … - 2016
volatility of a time series. We derive the main properties of the model and apply it to all agricultural commodities in the … volatility process and, according to homoscedasticity tests, outperforms the ARCH(1) and GARCH(1,1) models, some of the most … popular approaches used in the literature to analyze price volatility. Keywords: Agricultural prices, volatility, GARCH models. …
Persistent link: https://www.econbiz.de/10011456514
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A functional approach to test trending volatility
Guerrero Escobar, Santiago; Hernández del Valle, Gerardo; … - 2016
volatility of a time series. We derive the main properties of the model and apply it to all agricultural commodities in the … volatility process and, according to homoscedasticity tests, outperforms the ARCH(1) and GARCH(1,1) models, some of the most … popular approaches used in the literature to analyze price volatility. Keywords: Agricultural prices, volatility, GARCH models. …
Persistent link: https://www.econbiz.de/10011788928
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The persistence of inflation in Switzerland : evidence from disaggregate data
Elmer, Simone; Maag, Thomas - 2009
This paper investigates persistence of Swiss consumer price inflation using aggregate and disaggregate inflation data covering 1983-2008. We document that persistence of sectoral inflation rates is below persistence of aggregate inflation. Our main finding is that inflation persistence...
Persistent link: https://www.econbiz.de/10003909626
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Forecasting short-run inflation volatility using futures prices : an empirical analysis from a value at risk perspective
Benavides, Guillermo - 2010
day. However, the volatility persistence of ARCH-type models is reflected with relatively high VaR estimates for longer … specified time horizon. -- Bootstrapping ; inflation ; inflation-indexed futures ; Mexico ; Value at Risk ; volatility …
Persistent link: https://www.econbiz.de/10008737147
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Understanding the dynamics of inflation volatility in Nigeria : a GARCH perspective
Omotosho, Babatunde S.; Doguwa, Sani I. - In: CBN journal of applied statistics 3 (2012) 2, pp. 51-74
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 … impact of inflation shocks on headline volatility die out rather quickly. Secondly, substantial evidence of asymmetric effect …
Persistent link: https://www.econbiz.de/10011476231
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Fundamentals or Fads? Pipes, Not Punting, Explain Commodity Prices and Volatility
Fenton, Colin P. - 2011
In assessing drivers of commodity prices and volatility at this stage of the current super-cycle in commodities (year …
Persistent link: https://www.econbiz.de/10013120803
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Price Dividend Ratio and Long-Run Stock Returns : A Score Driven State Space Model
Delle Monache, Davide - 2020
In this paper we develop a general framework to analyze state space models with time-varying system matrices where time variation is driven by the score of the conditional likelihood. We derive a new filter that allows for the simultaneous estimation of the state vector and of the time-varying...
Persistent link: https://www.econbiz.de/10012842441