Structural change and estimated persistence in the \(GARCH(1,1)\)-model

DOI10.1016/j.econlet.2007.02.012zbMath1255.91359OpenAlexW1970220204MaRDI QIDQ1934140

Baudouin Tameze Azamo, Walter Kramer

Publication date: 28 January 2013

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2007.02.012

zbMATH Keywords

long memoryGARCHstructural change

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09) Economic time series analysis (91B84)

Related Items (8)

Long memory with Markov-switching GARCH ⋮ Flexible Fourier form for volatility breaks ⋮ On the origin of high persistence in GARCH-models ⋮ Parameter changes in GARCH model ⋮ Inflation uncertainty and economic growth: evidence from the LAD ARCH model ⋮ Spurious persistence in stochastic volatility ⋮ GARCH with omitted persistent covariate ⋮ Neglecting structural breaks when estimating and valuing dynamic correlations for asset allocation

Cites Work

• Autoregressive conditional heteroskedasticity and changes in regime
• Modeling long memory in stock market volatility
• Conditional Heteroskedasticity Driven by Hidden Markov Chains
• Estimation of GARCH Models from the Autocorrelations of the Squares of a Process
• On a Mixture Autoregressive Conditional Heteroscedastic Model

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