On the origin of high persistence in GARCH-models
We show that the (Baillie and Chung, 2001) minimum distance estimates of the GARCH (1,1) model induce spurious persistence in the volatility when there are structural changes in the mean of the process.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
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.:
- Kramer, Walter & Azamo, Baudouin Tameze, 2007.
"Structural change and estimated persistence in the GARCH(1,1)-model,"
Elsevier, vol. 97(1), pages 17-23, October.
- Prof. Dr. Walter Krämer & Baudouin Tameze Azamo, "undated". "Structural change and estimated persistence in the GARCH(1,1)-model," Working Papers 5, Business and Social Statistics Department, Technische Universität Dortmund, revised May 2006.
- Thomas Mikosch & Catalin Starica, 2004. "Non-stationarities in financial time series, the long range dependence and the IGARCH effects," Econometrics 0412005, EconWPA.
- Diebold, Francis X. & Inoue, Atsushi, 2001. "Long memory and regime switching," Journal of Econometrics, Elsevier, vol. 105(1), pages 131-159, November.
- Francis X. Diebold & Atsushi Inoue, 2000. "Long Memory and Regime Switching," NBER Technical Working Papers 0264, National Bureau of Economic Research, Inc.
- Krämer, Walter, 2008. "Long memory with Markov-Switching GARCH," Economics Letters, Elsevier, vol. 99(2), pages 390-392, May.
- Prof. Dr. Walter Krämer, "undated". "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.
- Walter Kraemer, 2008. "Long Memory with Markov-Switching GARCH," CESifo Working Paper Series 2225, CESifo Group Munich.
- Hillebrand, Eric, 2005. "Neglecting parameter changes in GARCH models," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 121-138.
- Cătălin Stărică & Clive Granger, 2005. "Nonstationarities in Stock Returns," The Review of Economics and Statistics, MIT Press, vol. 87(3), pages 503-522, August.
When requesting a correction, please mention this item's handle: RePEc:eee:ecolet:v:114:y:2012:i:1:p:72-75. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.