Long Memory with Markov-Switching GARCH

The paper considers the Markov-Switching GARCH(1,1)-model with time-varying transition probabilities. It derives sufficient 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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Year of publication:	[2008]
Authors:	Kraemer, Walter
Publisher:	[2008]: [S.l.] : SSRN
Subject:	Zeitreihenanalyse \| Time series analysis \| ARCH-Modell \| ARCH model \| Markov-Kette \| Markov chain \| Schätztheorie \| Estimation theory

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