A GARCH Approach with Long-memory to Explaining Inflation, Inflation Volatility and Persistence

Ning Zeng

Abstract


This paper employs a univariate ARFIMA-EGARCH-in-mean approach to examine the dynamics of inflation, and to explore the links between aggregate inflation rates, inflation persistence and uncertainty for three subsamples in the postwar period. Results provide new evidence that the correlation between inflation and its uncertainty varies, and that these changes are dependent on the level of aggregate inflation rate. In a high inflation environment, inflation rate and its volatility are involved in more active interaction, whereas less or little related when the inflation rate is lower.


Keywords


GARCH; Long-memeory; Inflation; Volatility; Persistence

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References


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