On the origin of high persistence in GARCH-models

C-Tier
Journal: Economics Letters
Year: 2012
Volume: 114
Issue: 1
Pages: 72-75

Authors (3)

Krämer, Walter (Universität Dortmund) Tameze, Baudouin (not in RePEc) Christou, Konstantinos (not in RePEc)

Score contribution per author:

0.335 = (α=2.01 / 3 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

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Abstract

We show that the (Baillie and Chung, 2001) minimum distance estimates of the GARCH (1,1) model induce spurious persistence in the volatility when there are structural changes in the mean of the process.

Technical Details

RePEc Handle
repec:eee:ecolet:v:114:y:2012:i:1:p:72-75
Journal Field
General
Author Count
3
Added to Database
2026-01-25