Spurious persistence in stochastic volatility

Philip Messow and Walter Krämer

Economics Letters, 2013, vol. 121, issue 2, 221-223

Abstract: We show that structural changes in stochastic volatility models induce spurious persistence. Other than in GARCH-type models, implied persistence does not tend to unity with given size of the structural change and increasing sample size.

Keywords: Persistence; Stochastic volatility; Structural change (search for similar items in EconPapers)
JEL-codes: C32 C58 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:121:y:2013:i:2:p:221-223

DOI: 10.1016/j.econlet.2013.08.008

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