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A Long Memory Model with Mixed Normal GARCH for US Inflation Data
- Source :
- Cheung, Yin-Wong; & Chung, Sang-Kuck. (2009). A Long Memory Model with Mixed Normal GARCH for US Inflation Data. Department of Economics, UCSC. UC Santa Cruz: Department of Economics, UCSC. Retrieved from: http://www.escholarship.org/uc/item/2202s99q, Cheung, Yin-Wong; & Chung, Sang-Kuck. (2009). A Long Memory Model with Mixed Normal GARCH for US Inflation Data. Department of Economics, UCSC. UC Santa Cruz: Department of Economics, UCSC. Retrieved from: http://www.escholarship.org/uc/item/94r403d2
- Publication Year :
- 2009
- Publisher :
- eScholarship, University of California, 2009.
-
Abstract
- 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 characterize conditional heteroskedasticity. We find that the proposed model yields a good description of the salient features, including skewness and heteroskedasticity, of the US inflation data. Further, the performance of the proposed model compares quite favorably with, for example, ARMA and ARFIMA models with GARCH errors characterized by normal, symmetric and skewed Student-t distributions.
- Subjects :
- Inflation
Heteroscedasticity
Heteroskedasticity, Skewness, Inflation, Long Memory, Normal Mixture
Autoregressive conditional heteroskedasticity
media_common.quotation_subject
Normal Mixture
Conditional expectation
Skewness
Salient
Econometrics
Heteroskedasticity
Time series
Autoregressive fractionally integrated moving average
Mathematics
media_common
Long Memory
Subjects
Details
- Language :
- English
- Database :
- OpenAIRE
- Journal :
- Cheung, Yin-Wong; & Chung, Sang-Kuck. (2009). A Long Memory Model with Mixed Normal GARCH for US Inflation Data. Department of Economics, UCSC. UC Santa Cruz: Department of Economics, UCSC. Retrieved from: http://www.escholarship.org/uc/item/2202s99q, Cheung, Yin-Wong; & Chung, Sang-Kuck. (2009). A Long Memory Model with Mixed Normal GARCH for US Inflation Data. Department of Economics, UCSC. UC Santa Cruz: Department of Economics, UCSC. Retrieved from: http://www.escholarship.org/uc/item/94r403d2
- Accession number :
- edsair.doi.dedup.....6f8decf742cbb4ac1e5187840ef71b59