On the origin of high persistence in GARCH-models (Q429135): Difference between revisions

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