Long memory with Markov-Switching GARCH

被引：6
|
作者：
Kraemer, Walter [1 ]
机构：
[1] Univ Dortmund, Fachbereich Stat, D-44221 Dortmund, Germany
来源：
ECONOMICS LETTERS | 2008年 / 99卷 / 02期
关键词：
Markov Switching; GARCH; long memory;
D O I：
10.1016/j.econlet.2007.09.027
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
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. (c) 2007 Elsevier B.V. All rights reserved.
引用
收藏
页码：390 / 392
页数：3
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