research
Long Memory with Markov-Switching GARCH
- Publication date
- Publisher
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.Markov switching, GARCH, long memory