IGARCH models and structural breaks
Using Monte Carlo simulations, it is shown that fitting a mis-specified GARCH model to a true MS-GARCH process tends to produce IGARCH parameter estimates. In other words, the presence of structural breaks can result in spuriously high estimates of the degree of persistence of shocks to the conditional variance.
Volume (Year): 10 (2003)
Issue (Month): 12 ()
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References listed on IDEAS
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