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Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen, Technische Universität Dortmund >
Technical Reports, SFB 475, TU Dortmund >
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http://hdl.handle.net/10419/22679
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| Title: | | Long memory with Markov-Switching GARCH  |
| 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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