A GARCH Model of Inflation and Inflation Uncertainty with Simultaneous Feedback

A GARCH Model of Inflation and Inflation Uncertainty in Iran

The paper investigates the relationship between inflation and inflation uncertainty using the Iranian data over the period 1959:03 – 2008:02. GARCH models are used to examine this relationship. Granger methods are employed to provide statistical evidence for the relationship between average inflation and inflation uncertainty. Threshold GARCH (TGARCH) models are considered to investigate asymme...

Relationship between Inflation and Inflation Uncertainty in Iran: An Application of SETAR-GARCH Model

The purpose of this paper is to investigate the relationship between the inflation and inflation uncertainty in Iran. Using mixed models of self-exciting threshold autoregressive (SETAR) and generalized autoregressive conditional heteroskedasticity (GARCH), the inflation behaviors are examined for the period 1990M05-2013M10. This approach allows testing the hypotheses of Friedman-Ball, Pourgera...

Inflation and Inflation Uncertainty in Iran: An Application of GARCH-in-Mean Model with FIML Method of Estimation

This paper investigates the relationship between inflation and inflation uncertainty for the period of 1990-2009 by using monthly data in the Iranian economy. The results of a two-step procedure such as Granger causality test which uses generated variables from the first stage as regressors in the second stage, suggests a positive relation between the mean and the variance of inflation. However...

inflation and inflation uncertainty in iran: an application of garch-in-mean model with fiml method of estimation

this paper investigates the relationship between inflation and inflation uncertainty for the period of 1990-2009 by using monthly data in the iranian economy. the results of a two-step procedure such as granger causality test which uses generated variables from the first stage as regressors in the second stage, suggests a positive relation between the mean and the variance of inflation. however...

The Relation Between Inflation and Inflation Uncertainty In Iran