The Effects of Structural Breaks in Arch and GARCH Parameters on Persistence of GARCH Models

We show that persistence of conditional volatility in large samples could be exaggerated by the existence of structural breaks in the ARCH and GARCH parameters. Our results suggest that extreme persistence frequently observed in index volatility does not necessarily indicate the same level of persistence over the sample period

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Year of publication:	2004
Authors:	Hwang, Soosung ; Valls Pereira, Pedro L.
Publisher:	[S.l.] : SSRN
Subject:	ARCH-Modell \| ARCH model \| Strukturbruch \| Structural break \| Zeitreihenanalyse \| Time series analysis \| Schätztheorie \| Estimation theory \| Volatilität \| Volatility

Extent:	1 Online-Ressource (13 p)
Series:	Cass Business School Research Paper
Type of publication:	Book / Working Paper
Language:	English
Other identifiers:	10.2139/ssrn.623162 [DOI]
Classification:	C13 - Estimation
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014068444