Modelling Inflation Uncertainty with Structural Breaks Case of Turkey (1994–2013)
Table 11
Most appropriate obtained GARCH-type of models and their constraints for inflation series.
Parameters
Symmetric
Asymmetric
ARCH
EGARCH
0.014242 (0.0002)
0.013473 (0.0017)
0.476255 (0.0000)
0.470196 (0.0000)
0.132779 (0.0197)
0.152300 (0.0000)
0.457314 (0.0000)
0.483289 (0.0000)
0.127269 (0.0088)
0.151228 (0.0001)
0.009516 (0.0000)
0.009930 (0.0000)
0.005730 (0.0053)
0.004573 (0.0066)
−0.007033 (0.0002)
−0.007627 (0.0000)
0.010459 (0.0000)
0.010297 (0.0000)
0.014071 (0.0000)
0.014152 (0.0000)
Variance equation
(0.0000)
−14.69140 (0.0000)
0.161211 (0.0381)
0.231022 (0.0973)
−0.418258 (0.0335)
0.215865 (0.0127)
(0.0004)
1.855822 (0.0000)
Constraints
Mean reverting level
0.000039
Stationarity
0.161211
Nonnegativity
0.015157
0.446887
Criteria
Adjusted
0.831930
0.830115
Log-likelihood
805.4523
809.2823
ARCH-LM (-statistics)
0.903991 (0.3427)
0.212247 (0.6454)
Stationarity of residuals*
Stationary
Stationary
Selected model
ARCH(1)
EGARCH(1, 1)
Stationarity of selected the model residuals has been diagnosed using ADF, PP, and KPSS unit root tests with 5% significance level. Values between brackets represent the significant P level.
