|Title:||Long memory with Markov-Switching GARCH|
|Abstract:||The paper considers the Markov-Switching GARCH(1,1)-model with time-varying transition probabilities. It derives sufficient 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.|
Time-varying transition probability
|Appears in Collections:||Sonderforschungsbereich (SFB) 475|
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