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https://doi.org/10.1080/01621459.1993.10594321

has been cited by the following article:

• TITLE: Modeling Seasonal Fractionally Integrated Autoregressive Moving Average-Generalized Autoregressive Conditional Heteroscedasticity Model with Seasonal Level Shift Intervention

  AUTHORS: Lawrence Dhliwayo, Florance Matarise, Charles Chimedza

  KEYWORDS: Seasonality, Fractional Integration, Long-Memory, Level Shift, SLS-SARFIMA, SLS-GARCH, Volatility

  JOURNAL NAME: Open Journal of Statistics, Vol.10 No.5, October 27, 2020

  ABSTRACT: This paper introduces the class of seasonal fractionally integrated autoregressive moving average-generalized conditional heteroskedastisticty (SARFIMA- GARCH) models, with level shift type intervention that are capable of capturing simultaneously four key features of time series: seasonality, long range dependence, volatility and level shift. The main focus is on modeling seasonal level shift (SLS) in fractionally integrated and volatile processes. A natural extension of the seasonal level shift detection test of the mean for a realization of time series satisfying SLS-SARFIMA and SLS-GARCH models was derived. Test statistics that are useful to examine if seasonal level shift in an SARFIMA-GARCH model is statistically plausible were established. Estimation of SLS-SARFIMA and SLS-GARCH parameters was also considered.