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
Institutions:	CESifo
Subject:	Markov switching \| GARCH \| long memory

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Extent:	application/pdf
Series:	CESifo Working Paper Series.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 2225
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005406028