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ifo Institut – Leibniz-Institut für Wirtschaftsforschung an der Universität München >
CESifo Working Papers, CESifo Group Munich >
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http://hdl.handle.net/10419/26270
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| Title: | | Long memory with Markov-Switching GARCH  |
| Authors: | | Krämer, Walter |
| Issue Date: | | 2008 |
| Series/Report no.: | | CESifo working paper 2225 |
| Abstract: | | The paper considers the Markov-Switching GARCH(1,1)-model with time-varying transition probabilities. It derives sufficient 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: | | C13 C22 |
| Document Type: | | Working Paper |
| Appears in Collections: | | CESifo Working Papers, CESifo Group Munich
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