Spurious persistence in stochastic volatility

DOI10.1016/J.ECONLET.2013.08.008MaRDI QIDQ2451401zbMATH OpenOpenAlexFDO

Authors Philip Messow, Walter Krämer

Publication date 3 June 2014

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2013.08.008

zbMATH Keywords

persistencestochastic volatilitystructural change

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stochastic models in economics (91B70)

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• On the origin of high persistence in GARCH-models
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Cites work

• Deciding between GARCH and stochastic volatility via strong decision rules
• scientific article; zbMATH DE number 5243765 (Why is no real title available?)
• Multivariate Stochastic Variance Models
• Neglecting parameter changes in GARCH models
• On regression-based tests for persistence in logarithmic volatility models
• On the origin of high persistence in GARCH-models
• Sample autocorrelations of nonstationary fractionally integrated series
• Structural change and estimated persistence in the \(GARCH(1,1)\)-model

Cited in

(5)

• Adaptive hyperbolic asymmetric power ARCH (A-HY-APARCH) model: stability and estimation
• Flexible Fourier form for volatility breaks
• Structural change as an alternative to long memory in financial time series
• The Effects of Structural Breaks in ARCH and GARCH Parameters on Persistence of GARCH Models
• On the origin of high persistence in GARCH-models

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