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
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