Authors: Azamo, Baudouin Tameze
Krämer, Walter
Title: Structural change and long memory in the GARCH(1,1)-model
Language (ISO): en
Abstract: It has long been known that the estimated persistence parameter in the GARCH(1,1) - model is biased upwards when the parameters of the model are not constant throughout the sample. The present paper explains the mechanics of this behavior for a particular class of estimates of the model parameters. It gives sufficient conditions for the estimated persistence to tend to one when the mean of the process changes, both for a given sample size (as the size of the structural change increases), and as sample size increases, extending previous results that were concerned with changes in the volatility parameters.
Subject Headings: GARCH(1,1)-model
Long memory
Persistence parameter
Structural change
Issue Date: 2006-11-10T10:17:11Z
Appears in Collections:Sonderforschungsbereich (SFB) 475

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