Long memory with Markov-Switching GARCH
AbstractThe 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 sum to almost one.
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Bibliographic InfoPaper provided by Business and Social Statistics Department, Technische Universität Dortmund in its series Working Papers with number 6.
Length: 9 pages
Date of creation:
Date of revision: Oct 2006
Publication status: Published in Economics Letters, May 2008, pages 390-392
Markov switching; GARCH; long memory;
Other versions of this item:
- Krämer, Walter, 2006. "Long memory with Markov-Switching GARCH," Technical Reports 2006,35, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
- Walter Kraemer, 2008. "Long Memory with Markov-Switching GARCH," CESifo Working Paper Series 2225, CESifo Group Munich.
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
This paper has been announced in the following NEP Reports:
- NEP-ALL-2007-01-23 (All new papers)
- NEP-ECM-2007-01-23 (Econometrics)
- NEP-ETS-2007-01-23 (Econometric Time Series)
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.:
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5, Business and Social Statistics Department, Technische Universität Dortmund, revised May 2006.
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- Krämer, Walter & Tameze, Baudouin & Christou, Konstantinos, 2012. "On the origin of high persistence in GARCH-models," Economics Letters, Elsevier, vol. 114(1), pages 72-75.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Prof. Dr. Walter Krämer).
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