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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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Related works:
Working Paper: Long Memory with Markov-Switching GARCH (2008) Downloads
Working Paper: Long memory with Markov-Switching GARCH (2006)
Working Paper: Long memory with Markov-Switching GARCH (2006) Downloads
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