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Long Memory with Markov-Switching GARCH

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Author Info
Walter Kraemer ()
Abstract

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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File URL: http://www.cesifo.de/DocCIDL/cesifo1_wp2225.pdf
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Publisher Info
Paper provided by CESifo GmbH in its series CESifo Working Paper Series with number CESifo Working Paper No. 2225.

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Date of creation: 2008
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Handle: RePEc:ces:ceswps:_2225

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Related research
Keywords: Markov switching GARCH long memory

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

  1. Diebold, Francis X. & Inoue, Atsushi, 2001. "Long memory and regime switching," Journal of Econometrics, Elsevier, vol. 105(1), pages 131-159, November. [Downloadable!] (restricted)
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  2. Markus Haas, 2004. "A New Approach to Markov-Switching GARCH Models," Journal of Financial Econometrics, Oxford University Press, vol. 2(4), pages 493-530. [Downloadable!] (restricted)
  3. repec:dor:wpaper:5 is not listed on IDEAS
  4. Francq, C. & Roussignol, M. & Zakoian, J.-M., 1998. "Conditional Heteroskedasticity Driven by Hidden Markov Chains," Papers 9845, Institut National de la Statistique et des Etudes Economiques-.
    Other versions:
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This page was last updated on 2008-9-22.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.