Title of article :
Structural change and estimated persistence in the GARCH(1,1)-model
Author/Authors :
Walter Kramer، نويسنده , , Baudouin Tameze Azamo، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2007
Abstract :
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
Keywords :
Long memory , GARCH , Structural change
Journal title :
Economics Letters
Journal title :
Economics Letters
