Inflação inercial como um processo de longa memória: Análise a partir de um modelo Arfima-Figarch

Abstract

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.