Autor(en): | Azamo, Baudouin Tameze Krämer, Walter |
Titel: | Structural change and long memory in the GARCH(1,1)-model |
Sprache (ISO): | en |
Zusammenfassung: | 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. |
Schlagwörter: | GARCH(1,1)-model Long memory Persistence parameter Structural change |
URI: | http://hdl.handle.net/2003/23083 http://dx.doi.org/10.17877/DE290R-8023 |
Erscheinungsdatum: | 2006-11-10T10:17:11Z |
Enthalten in den Sammlungen: | Sonderforschungsbereich (SFB) 475 |
Dateien zu dieser Ressource:
Datei | Beschreibung | Größe | Format | |
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tr33-06.pdf | DNB | 576.14 kB | Adobe PDF | Öffnen/Anzeigen |
Diese Ressource ist urheberrechtlich geschützt. |
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