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Long memory with Markov-Switching GARCH

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The paper considers the Markov-Switching GARCH(1,1)-model with time-varying transition probabilities. It derives su?cient conditions for the square of the process to display long memory and provides some additional intuition for the empirical observation that estimated GARCH-parameters often sum to almost one.

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Walter Krämer

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Adapt according to the presented license agreement and reference the original author.