Inflação inercial como um processo de longa memória: análise a partir de um modelo Arfima-Figarch
DOI:
https://doi.org/10.1590/S0101-41612009000200008Keywords:
inertial inflation, ARFIMA-FIGARCH, long memory, volatilityAbstract
The aim of this paper is search for the long memory in the Brazilian inflation rate, describing it as a fractionally integrated process in the first and second moments. So, it is employed the more recent methodology of ARFIMA-FIGARCH models. The main result endorses the hypothesis of inertial inflation in the short and long run, and the Friedman's hypothesis of interaction between mean and volatility of price inflation.Downloads
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