On the origin of high persistence in GARCH-models
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References listed on IDEAS
- Kramer, Walter & Azamo, Baudouin Tameze, 2007.
"Structural change and estimated persistence in the GARCH(1,1)-model,"
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More about this item
KeywordsMinimum distance estimates; Structural change; Long memory; GARCH;
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
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