On the origin of high persistence in GARCH-models
From MaRDI portal
(Redirected from Publication:429135)
Recommendations
- Structural change and estimated persistence in the \(GARCH(1,1)\)-model
- The Effects of Structural Breaks in ARCH and GARCH Parameters on Persistence of GARCH Models
- Spurious persistence in stochastic volatility
- Non‐linear GARCH models for highly persistent volatility
- Structural change as an alternative to long memory in financial time series
Cites work
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Estimation of GARCH models from the autocorrelations of the squares of a process
- Long memory and regime switching
- Long memory with Markov-switching GARCH
- Neglecting parameter changes in GARCH models
- Random coefficient autoregression, regime switching and long memory
- Sample autocorrelations of nonstationary fractionally integrated series
- Structural change and estimated persistence in the \(GARCH(1,1)\)-model
Cited in
(11)- Neglecting parameter changes in GARCH models
- The Effects of Structural Breaks in ARCH and GARCH Parameters on Persistence of GARCH Models
- Spurious persistence in stochastic volatility
- A modified GARCH model with spells of shocks
- Stochastic change-point ARX-GARCH models and their applications to econometric time series
- Non‐linear GARCH models for highly persistent volatility
- Structural change as an alternative to long memory in financial time series
- Level changes in volatility models
- Spurious Inference in the GARCH (1,1) Model When It Is Weakly Identified
- Structural change and estimated persistence in the \(GARCH(1,1)\)-model
- Shifts in volatility driven by large stock market shocks
This page was built for publication: On the origin of high persistence in GARCH-models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q429135)
