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Title:Long memory with Markov-Switching GARCH PDF Logo
Authors:Krämer, Walter
Issue Date:2006
Series/Report no.:Technical Report / Universität Dortmund, SFB 475 Komplexitätsreduktion in Multivariaten Datenstrukturen 2006,35
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.
Subjects:Markov switching
GARCH
long memory
JEL:C22
C13
Document Type:Working Paper
Appears in Collections:Technical Reports, SFB 475, TU Dortmund

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