Long memory with Markov-Switching GARCH

C-Tier
Journal: Economics Letters
Year: 2008
Volume: 99
Issue: 2
Pages: 390-392

Score contribution per author:

1.005 = (α=2.01 / 1 authors) × 0.5x C-tier

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

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.

Technical Details

RePEc Handle
repec:eee:ecolet:v:99:y:2008:i:2:p:390-392
Journal Field
General
Author Count
1
Added to Database
2026-01-25