Structural change and long memory in the GARCH(1,1)-model
| dc.contributor.author | Azamo, Baudouin Tameze | |
| dc.contributor.author | Krämer, Walter | |
| dc.date.accessioned | 2006-11-10T10:17:11Z | |
| dc.date.available | 2006-11-10T10:17:11Z | |
| dc.date.issued | 2006-11-10T10:17:11Z | |
| dc.description.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. | en |
| dc.format.extent | 589968 bytes | |
| dc.format.mimetype | application/pdf | |
| dc.identifier.uri | http://hdl.handle.net/2003/23083 | |
| dc.identifier.uri | http://dx.doi.org/10.17877/DE290R-8023 | |
| dc.language.iso | en | |
| dc.subject | GARCH(1,1)-model | en |
| dc.subject | Long memory | en |
| dc.subject | Persistence parameter | en |
| dc.subject | Structural change | en |
| dc.subject.ddc | 004 | |
| dc.title | Structural change and long memory in the GARCH(1,1)-model | en |
| dc.type | Text | de |
| dc.type.publicationtype | report | en |
| dcterms.accessRights | open access |