Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/22677
Authors: 
Azamo, Baudouin Tameze
Krämer, Walter
Year of Publication: 
2006
Series/Report no.: 
Technical Report / Universität Dortmund, SFB 475 Komplexitätsreduktion in Multivariaten Datenstrukturen 2006,33
Abstract: 
It has long been known that the estimated persistence parameter in the GARCH(1,1) - model is biased upwards when the parameters of the model are not constant throughout the sample. The present paper explains the mechanics of this behavior for a particular class of estimates of the model parameters. It gives sufficient conditions for the estimated persistence to tend to one when the mean of the process changes, both for a given sample size (as the size of the structural change increases), and as sample size increases, extending previous results that were concerned with changes in the volatility parameters.
Subjects: 
structural change
long memory
GARCH
Document Type: 
Working Paper

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