On the origin of high persistence in GARCH-models

Walter Krämer, Baudouin Tameze and Konstantinos Christou

Economics Letters, 2012, vol. 114, issue 1, 72-75

Abstract: We show that the (Baillie and Chung, 2001) minimum distance estimates of the GARCH (1,1) model induce spurious persistence in the volatility when there are structural changes in the mean of the process.

Keywords: Minimum distance estimates; Structural change; Long memory; GARCH (search for similar items in EconPapers)
JEL-codes: C13 C22 (search for similar items in EconPapers)
Date: 2012
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:114:y:2012:i:1:p:72-75

DOI: 10.1016/j.econlet.2011.09.012

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