Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/26270
Authors: 
Krämer, Walter
Year of Publication: 
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

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