Long memory with Markov-Switching GARCH

Walter Krämer

Economics Letters, 2008, vol. 99, issue 2, 390-392

Abstract: The 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.

Date: 2008
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Citations: View citations in EconPapers (2)

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Related works:
Working Paper: Long Memory with Markov-Switching GARCH (2008)
Working Paper: Long memory with Markov-Switching GARCH (2006)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:99:y:2008:i:2:p:390-392

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