Krämer, Walter2006-11-102006-11-102006-11-10JEL-numbers: C13, C22http://hdl.handle.net/2003/2307010.17877/DE290R-15398The 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.enGARCH(1,1)-modelLong memoryMarkov-switchingTime-varying transition probability004report