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.
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- Prof. Dr. Walter Krämer & Baudouin Tameze Azamo, .
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5, Business and Social Statistics Department, Technische Universität Dortmund, revised May 2006.
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0264, National Bureau of Economic Research, Inc.
- Christian Francq & Michel Roussignol & Jean-Michel Zakoïan, 1998.
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98-45, Centre de Recherche en Economie et Statistique.
- Christian Francq & Michel Roussignol & Jean-Michel Zakoian, 1998. "Conditional heteroskedasticity driven by hidden Markov chains," SFB 373 Discussion Papers 1998,86, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- 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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