Resource title

Long memory with Markov-Switching GARCH

Resource image

image for OpenScout resource :: Long memory with Markov-Switching GARCH

Resource description

The paper considers the Markov-Switching GARCH(1,1)-model with time-varying transition probabilities. It derives sufficient 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.

Resource author

Walter Krämer

Resource publisher

Resource publish date

Resource language

eng

Resource content type

text/html

Resource resource URL

http://hdl.handle.net/10419/26270

Resource license

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