On the origin of high persistence in GARCH-models

DOI10.1016/J.ECONLET.2011.09.012zbMATH Open1284.62563OpenAlexW2028978642MaRDI QIDQ429135

Baudouin Tameze, Konstantinos Christou, Walter Krämer

Publication date: 26 June 2012

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

Full work available at URL: https://doi.org/10.1016/j.econlet.2011.09.012

zbMATH Keywords

long memoryGARCHstructural changeminimum distance estimates

Mathematics Subject Classification ID

Could not fetch data.

Cites Work

• Neglecting parameter changes in GARCH models
• Sample autocorrelations of nonstationary fractionally integrated series
• Structural change and estimated persistence in the \(GARCH(1,1)\)-model
• Long memory with Markov-switching GARCH
• Estimation of GARCH models from the autocorrelations of the squares of a process
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Random coefficient autoregression, regime switching and long memory
• Long memory and regime switching

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