Arbeitspapier
Structural Change and long memory in the GARCH(1,1)-model
It has long been known that the estimated persistence parameter in the GARCH(1,1) - model is biased upwards when the parameters of the model are not constant throughout the sample. The present paper explains the mechanics of this behavior for a particular class of estimates of the model parameters. It gives sufficient conditions for the estimated persistence to tend to one when the mean of the process changes, both for a given sample size (as the size of the structural change increases), and as sample size increases, extending previous results that were concerned with changes in the volatility parameters.
- Sprache
-
Englisch
- Erschienen in
-
Series: Technical Report ; No. 2006,33
- Thema
-
structural change
long memory
GARCH
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Azamo, Baudouin Tameze
Krämer, Walter
- Ereignis
-
Veröffentlichung
- (wer)
-
Universität Dortmund, Sonderforschungsbereich 475 - Komplexitätsreduktion in Multivariaten Datenstrukturen
- (wo)
-
Dortmund
- (wann)
-
2006
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Azamo, Baudouin Tameze
- Krämer, Walter
- Universität Dortmund, Sonderforschungsbereich 475 - Komplexitätsreduktion in Multivariaten Datenstrukturen
Entstanden
- 2006
Ähnliche Objekte (12)
Long memory with Markov-Switching GARCH
Long memory with Markov-Switching GARCH
Long memory with Markov-Switching GARCH
Testing for structural change in the presence of long memory
Diplomakte Walter Krämer
Kinderhort
Walter Krämer
Long memory vs. structural change in financial time series
Structural Change and Spurious Persistence in Stochastic Volatility
Structural change and spurious persistence in stochastic volatility
A simple nonparametric test for structural change in joint tail probabilities
Eine Anmerkung zur Exzeß-Volatilitätsdebatte in der Empirischen Kapitalmarktforschung
Long memory with Markov-Switching GARCH
Long memory with Markov-Switching GARCH
Long memory with Markov-Switching GARCH
Testing for structural change in the presence of long memory
Diplomakte Walter Krämer
Kinderhort
Walter Krämer
Long memory vs. structural change in financial time series
Structural Change and Spurious Persistence in Stochastic Volatility
Structural change and spurious persistence in stochastic volatility
A simple nonparametric test for structural change in joint tail probabilities
Eine Anmerkung zur Exzeß-Volatilitätsdebatte in der Empirischen Kapitalmarktforschung
Long memory with Markov-Switching GARCH
Long memory with Markov-Switching GARCH
Long memory with Markov-Switching GARCH
Testing for structural change in the presence of long memory
Diplomakte Walter Krämer
Kinderhort
Walter Krämer
Long memory vs. structural change in financial time series
Structural Change and Spurious Persistence in Stochastic Volatility
Structural change and spurious persistence in stochastic volatility
A simple nonparametric test for structural change in joint tail probabilities