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,"
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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.
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