Long Memory with Markov-Switching GARCH

Walter Kraemer
Authors registered in the RePEc Author Service: Walter Krämer

No 2225, CESifo Working Paper Series from CESifo

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.

Keywords: Markov switching; GARCH; long memory (search for similar items in EconPapers)
Date: 2008
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Related works:
Journal Article: Long memory with Markov-Switching GARCH (2008)
Working Paper: Long memory with Markov-Switching GARCH (2006)
Working Paper: Long memory with Markov-Switching GARCH (2006)
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Persistent link: https://EconPapers.repec.org/RePEc:ces:ceswps:_2225

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