Long memory with Markov-Switching GARCH

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Date

2006-11-10T07:43:50Z

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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.

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

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