Long Memory with Markov-Switching GARCH
AbstractThe 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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Bibliographic InfoPaper provided by CESifo Group Munich in its series CESifo Working Paper Series with number 2225.
Date of creation: 2008
Date of revision:
Markov switching; GARCH; long memory;
Other versions of this item:
- Prof. Dr. Walter Krämer, . "Long memory with Markov-Switching GARCH," Working Papers 6, Business and Social Statistics Department, Technische Universität Dortmund, revised Oct 2006.
- Krämer, Walter, 2006. "Long memory with Markov-Switching GARCH," Technical Reports 2006,35, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
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