Structural change and long memory in the GARCH(1,1)-model
Loading...
Date
2006-11-10T10:17:11Z
Journal Title
Journal ISSN
Volume Title
Publisher
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.
Description
Table of contents
Keywords
GARCH(1,1)-model, Long memory, Persistence parameter, Structural change