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Long memory with Markov-Switching GARCH

Walter Krämer ()

No 2006,35, Technical Reports from Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen

Abstract: The paper considers the Markov-Switching GARCH(1,1)-model with time-varying transition probabilities. It derives su?cient 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)
JEL-codes: C22 C13 (search for similar items in EconPapers)
Date: 2006
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https://www.econstor.eu/bitstream/10419/22679/1/tr35-06.pdf (application/pdf)

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