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Modelling seasonal fractionally integrated process with volatility and structural change

Author

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  • Lawrence Dhliwayo
  • Florance Matarise
  • Charles Chimedza

Abstract

This study investigates fractionally integrated processes, specifically SARFIMA-GARCH models with structural changes. These models encompass four key aspects of time series data: seasonality, fractional integration, volatility, and structural change. The primary focus of this study is to extend the seasonal structural change detection test for both mean and volatility in a given realisation. The parameters for the seasonal structural change (SSC)-SARFIMA and seasonal structural change (SSC)-GARCH models were derived. Additionally, we establish test statistics that are crucial for assessing the statistical significance of seasonal structural change in a SARFIMA-GARCH model. A simulation study was conducted to demonstrate the reliability of the derived detection procedures.

Suggested Citation

  • Lawrence Dhliwayo & Florance Matarise & Charles Chimedza, 2024. "Modelling seasonal fractionally integrated process with volatility and structural change," International Journal of Computational Economics and Econometrics, Inderscience Enterprises Ltd, vol. 14(4), pages 468-485.
    • Handle: RePEc:ids:ijcome:v:14:y:2024:i:4:p:468-485
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