Spurious persistence in stochastic volatility

We show that structural changes in stochastic volatility models induce spurious persistence. Other than in GARCH-type models, implied persistence does not tend to unity with given size of the structural change and increasing sample size.

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Year of publication:	2013
Authors:	Messow, Philip ; Krämer, Walter
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 121.2013, 2, p. 221-223
Publisher:	Elsevier
Subject:	Persistence \| Stochastic volatility \| Structural change

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Type of publication:	Article
Classification:	C32 - Time-Series Models ; c58
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011041729