Long memory with Markov-Switching GARCH
The paper considers the Markov-Switching GARCH(1,1)-model with time-varying transition probabilities. It derives su?cient conditions for the square of the process to display long memory and provides some additional intuition for the empirical observation that estimated GARCH-parameters often sum to almost one.
|Date of creation:||2006|
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- Markus Haas, 2004. "A New Approach to Markov-Switching GARCH Models," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 2(4), pages 493-530.
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SFB 373 Discussion Papers
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- Christian Francq & Michel Roussignol & Jean-Michel Zakoïan, 1998. "Conditional Heteroskedasticity Driven by Hidden Markov Chains," Working Papers 98-45, Centre de Recherche en Economie et Statistique.
- repec:dgr:kubcen:199852 is not listed on IDEAS
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- Francis X. Diebold & Atsushi Inoue, 2000.
"Long Memory and Regime Switching,"
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0264, National Bureau of Economic Research, Inc.
- Francq, Christian & ZakoIÂ¨an, Jean-Michel, 2005. "The L2-structures of standard and switching-regime GARCH models," Stochastic Processes and their Applications, Elsevier, vol. 115(9), pages 1557-1582, September.
- Prof. Dr. Walter Krämer & Baudouin Tameze Azamo, .
"Structural change and estimated persistence in the GARCH(1,1)-model,"
5, Business and Social Statistics Department, Technische Universität Dortmund, revised May 2006.
- Kramer, Walter & Azamo, Baudouin Tameze, 2007. "Structural change and estimated persistence in the GARCH(1,1)-model," Economics Letters, Elsevier, vol. 97(1), pages 17-23, October.
- Hillebrand, Eric, 2005. "Neglecting parameter changes in GARCH models," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 121-138.
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