On the origin of high persistence in GARCH-models
From MaRDI portal
Publication:429135
DOI10.1016/j.econlet.2011.09.012zbMath1284.62563MaRDI QIDQ429135
Baudouin Tameze, Konstantinos Christou, Walter Kramer
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
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
Related Items
Shifts in volatility driven by large stock market shocks, Spurious persistence in stochastic volatility
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