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
Pages
7
From page
17
To page
23
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
Serial Year
2007
Journal title
Economics Letters
Record number
436318
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