Spurious persistence in stochastic volatility
We show that structural changes in stochastic volatility models induce spurious persistence. Other than in GARCH-type models, implied persistence does not tend to unity with given size of the structural change and increasing sample size.
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- 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.
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- Zacharias Psaradakis & Elias Tzavalis, 1999. "On regression-based tests for persistence in logarithmic volatility models," Econometric Reviews, Taylor & Francis Journals, vol. 18(4), pages 441-448.
- Hillebrand, Eric, 2005. "Neglecting parameter changes in GARCH models," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 121-138.
- Lamoureux, Christopher G & Lastrapes, William D, 1990. "Persistence in Variance, Structural Change, and the GARCH Model," Journal of Business & Economic Statistics, American Statistical Association, vol. 8(2), pages 225-234, April.
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