Authors: Azamo, Baudouin Tameze
Christou, Konstantinos
Krämer, Walter
Title: On the origins of high persistence in GARCH-models
Language (ISO): en
Abstract: The estimated persistence in various types of GARCH-models is known to be too large when the parameters of the model undergo structural changes somewhere in the sample. The present paper adds further insights into this phenomenon for the Baillie and Chung (2001) minimum distance estimates of the model parameters. While previous research has focused on the effects of changes in the GARCH-parameters, we investigate here the consequences of a changing mean.
Subject Headings: GARCH
long memory
minimum distance estimates
structural change
Issue Date: 2009-06
Appears in Collections:Sonderforschungsbereich (SFB) 823

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