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.

MoreLess

Year of publication:	2006
Authors:	Krämer, Walter
Publisher:	Dortmund : Universität Dortmund, Sonderforschungsbereich 475 - Komplexitätsreduktion in Multivariaten Datenstrukturen
Subject:	Markov switching \| GARCH \| long memory

More details

Series:	Technical Report ; 2006,35
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	519727495 [GVK] hdl:10419/22679 [Handle] RePEc:zbw:sfb475:200635 [RePEc]
Classification:	C22 - Time-Series Models ; C13 - Estimation
Source:	EconStor

Persistent link: https://www.econbiz.de/10010296750