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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- Christian Francq & Michel Roussignol & Jean-Michel Zakoian, 1998.
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SFB 373 Discussion Papers
1998,86, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
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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.
- 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.
- Hamilton, James D. & Susmel, Raul, 1994.
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- Tom Doan, . "RATS programs to estimate Hamilton-Susmel Markov Switching ARCH model," Statistical Software Components RTZ00083, Boston College Department of Economics.
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