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BIBTEX RIS

Long Memory with Markov-Switching GARCH

2008; RELX Group (Netherlands); Linguagem: Inglês

10.2139/ssrn.1095137

ISSN

1556-5068

Autores

Walter Kraemer,

Tópico(s)

Stochastic processes and financial applications

Resumo

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.

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