IGARCH and variance change in the US long-run interest rate

Philip Hans Franses

Applied Economics Letters, 1995, vol. 2, issue 4, 113-114

Abstract: It is shown that a one-time variance change in the US long-run interest rate spuriously suggests that it can be described with an IGARCH(1,1) process. The variance change is detected using a simple statistical test, and it corresponds to a change in monetary policy.

Date: 1995
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DOI: 10.1080/758529815

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