Long memory with Markov-Switching GARCH

The paper considers the Markov-Switching GARCH(1,1)-model with time-varying transition probabilities. It derives su±cient conditions for the square of the process to display long memory and provides some additional intuition for the empirical observation that estimated GARCH-parameters often sum to almost one.

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Authors:	Krämer, Prof. Dr. Walter
Institutions:	Institut für Wirtschafts- und Sozialstatistik, Universität Dortmund
Subject:	Markov switching \| GARCH \| long memory

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Series:	Working Papers.
Type of publication:	Book / Working Paper
Notes:	Published in Economics Letters, May 2008, pages 390-392 9 pages
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005687732