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|
|Date of revision:|
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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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- 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.
- Franc Klaassen, 2002. "Improving GARCH volatility forecasts with regime-switching GARCH," Empirical Economics, Springer, vol. 27(2), pages 363-394.
- Thomas Mikosch & Cătălin Stărică, 2004. "Nonstationarities in Financial Time Series, the Long-Range Dependence, and the IGARCH Effects," The Review of Economics and Statistics, MIT Press, vol. 86(1), pages 378-390, February.
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