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:	Krämer, Walter
Publisher:	Munich : Center for Economic Studies and ifo Institute (CESifo)
Subject:	Zeitreihenanalyse \| ARCH-Modell \| Markovscher Prozess \| Schätztheorie \| Markov switching \| GARCH \| long memory

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Series:	CESifo Working Paper ; 2225
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	559088930 [GVK] hdl:10419/26270 [Handle]
Classification:	C13 - Estimation ; C22 - Time-Series Models
Source:	EconStor

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010264309