Long memory with Markov-Switching GARCH

Walter Krämer

Working Papers from Business and Social Statistics Department, Technische Universität Dortmund

Abstract: The paper considers the Markov-Switching GARCH(1,1)-model with time-varying transition probabilities. It derives su±cient 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.

Keywords: Markov switching; GARCH; long memory (search for similar items in EconPapers)
Pages: 9 pages
Date: 2006-10
New Economics Papers: this item is included in nep-ecm and nep-ets
References: Add references at CitEc
Citations:

Published in Economics Letters, May 2008, pages 390-392

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Journal Article: Long memory with Markov-Switching GARCH (2008)
Working Paper: Long Memory with Markov-Switching GARCH (2008)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:dor:wpaper:6

Access Statistics for this paper

More papers in Working Papers from Business and Social Statistics Department, Technische Universität Dortmund Contact information at EDIRC.
Bibliographic data for series maintained by Prof. Dr. Walter Krämer ().