Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/22679
Authors: 
Krämer, Walter
Year of Publication: 
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

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