Structural change and estimated persistence in the GARCH(1,1)-model
AbstractIt 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 parameters and for a particular type of structural change. It shows for any given sample size that the estimated persistence must tend to one in probability if the structural change is ignored and large enough.
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Bibliographic InfoPaper provided by Business and Social Statistics Department, Technische Universität Dortmund in its series Working Papers with number 5.
Length: 16 pages
Date of creation:
Date of revision: May 2006
Publication status: Published in Economics Letters, October 2007, pages 17-23
long memory; GARCH; structural change;
Other versions of this item:
- Kramer, Walter & Azamo, Baudouin Tameze, 2007. "Structural change and estimated persistence in the GARCH(1,1)-model," Economics Letters, Elsevier, vol. 97(1), pages 17-23, October.
- NEP-ALL-2007-01-23 (All new papers)
- NEP-ECM-2007-01-23 (Econometrics)
- NEP-ETS-2007-01-23 (Econometric Time Series)
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