Long Memory with Markov-Switching GARCH

14 Pages Posted: 19 Feb 2008

See all articles by Walter Kraemer

Walter Kraemer

University of Dortmund - Department of Statistics; CESifo (Center for Economic Studies and Ifo Institute)

Date Written: February 2008

Abstract

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.

Keywords: Markov switching, GARCH, long memory

JEL Classification: C13, C22

Suggested Citation

Kraemer, Walter, Long Memory with Markov-Switching GARCH (February 2008). CESifo Working Paper Series No. 2225, Available at SSRN: https://ssrn.com/abstract=1095137

Walter Kraemer (Contact Author)

University of Dortmund - Department of Statistics ( email )

D-44221 Dortmund
Germany
0231 755-3125 (Phone)
0231 755-5284 (Fax)

CESifo (Center for Economic Studies and Ifo Institute)

Poschinger Str. 5
Munich, DE-81679
Germany

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