Modelling seasonal fractionally integrated process with volatility and structural change
by Lawrence Dhliwayo; Florance Matarise; Charles Chimedza
International Journal of Computational Economics and Econometrics (IJCEE), Vol. 14, No. 4, 2024

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.

Online publication date: Mon, 07-Oct-2024

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