On the origin of high persistence in GARCH-models
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Publication:429135
DOI10.1016/J.ECONLET.2011.09.012zbMATH Open1284.62563OpenAlexW2028978642MaRDI QIDQ429135FDOQ429135
Authors: 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
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
- Long memory and regime switching
- Neglecting parameter changes in GARCH models
- Random coefficient autoregression, regime switching and long memory
- Estimation of GARCH models from the autocorrelations of the squares of a process
- Sample autocorrelations of nonstationary fractionally integrated series
- Structural change and estimated persistence in the \(GARCH(1,1)\)-model
- Long memory with Markov-switching GARCH
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
- Non‐linear GARCH models for highly persistent volatility
- Stochastic change-point ARX-GARCH models and their applications to econometric time series
- Structural change as an alternative to long memory in financial time series
- Spurious Inference in the GARCH (1,1) Model When It Is Weakly Identified
- Level changes in volatility models
- Structural change and estimated persistence in the \(GARCH(1,1)\)-model
- Shifts in volatility driven by large stock market shocks
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