It has long been known that the estimated persistence parameter in the GARCH(1,1) - model is biased upwards when the parameters of the model are not constant throughout the sample. The present paper explains the mechanics of this behavior for a particular class of estimates of the model...

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...

We extend the well established link between structural change and estimated persistence from GARCH to stochastic volatility (SV) models. Whenever structural changes in some model parameters increase the empirical autocorrelations of the squares of the underlying time series, the persistence in...

Die finanzwirtschaftliche Bedeutung von Kreditausfällen und Kreditausfall- Prognosen bedarf keiner weiteren Begründung. Dieser Bedeutung angemessen, gibt es inzwischen eine Vielzahl von Modellen und Verfahren, die Ausfallwahrscheinlichkeiten von Bankkrediten oder Industrieanleihen zu...

We propose a new method (implemented in an R-program) to simulate long-range daily stock-price data. The program reproduces various stylized facts much better than various parametric models from the extended GARCH-family. In particular, the empirically observed changes in unconditional variance...