Authors: Krämer, Walter
Title: Long memory with Markov-Switching GARCH
Language (ISO): en
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.
Subject Headings: GARCH(1,1)-model
Long memory
Time-varying transition probability
Issue Date: 2006-11-10T07:43:50Z
Appears in Collections:Sonderforschungsbereich (SFB) 475

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