Azamo, Baudouin TamezeChristou, KonstantinosKrämer, Walter2009-10-292009-10-292009-06http://hdl.handle.net/2003/2648610.17877/DE290R-12666The estimated persistence in various types of GARCH-models is known to be too large when the parameters of the model undergo structural changes somewhere in the sample. The present paper adds further insights into this phenomenon for the Baillie and Chung (2001) minimum distance estimates of the model parameters. While previous research has focused on the effects of changes in the GARCH-parameters, we investigate here the consequences of a changing mean.enDiscussion Paper / SFB 823; 12/2009GARCHlong memoryminimum distance estimatesstructural change310330620report