Long memory with Markov-Switching GARCH
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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.
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GARCH(1,1)-model, Long memory, Markov-switching, Time-varying transition probability