Time-varying ARFIMA-GARCH model with symmetric thresholds: applications to inflation

被引：0

作者：

Tan, Zhengxun ^{[1
]}

Liu, Juan ^{[2
]}

机构：

[1] Hunan Normal Univ, Sch Business, Changsha 410081, Hunan, Peoples R China

[2] Hunan Normal Univ, Sch Math & Stat, Changsha, Hunan, Peoples R China

来源：

APPLIED ECONOMICS LETTERS | 2021年 / 28卷 / 05期

基金：

中国国家自然科学基金;

关键词：

ARFIMA-GARCH; structural change; symmetric thresholds; inflation; volatility; UNCERTAINTY;

D O I：

10.1080/13504851.2020.1753877

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This study suggests a structural modification of the basic ARFIMA-GARCH model by allowing for time-varying baseline mean and, especially, symmetric threshold GARCH. By applying it to the inflation of G7 countries, we find that past excessive positive or negative shocks have positive impacts on future volatility and GARCH persistence. Compared with the ARFIMA-GARCH model, the model in this study has superior performances in identifying and characterizing structural changes and excessive shocks.

引用

页码：373 / 377

页数：5

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