Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/22679 
Authors: 
Year of Publication: 
2006
Series/Report no.: 
Technical Report No. 2006,35
Publisher: 
Universität Dortmund, Sonderforschungsbereich 475 - Komplexitätsreduktion in Multivariaten Datenstrukturen, Dortmund
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

Files in This Item:
File
Size
109.28 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.