On the origins of high persistence in GARCH-models (2009)
Krämer, Walter, Azamo, Baudouin Tameze, Christou, Konstantinos
The estimated persistence in various types of GARCH-models is known to be too large when the parameters of the model undergo structural changes somewhere in the sample. The present paper adds further...
Structural change and long memory in the GARCH(1,1)-model (2006)
Krämer, Walter, Azamo, Baudouin Tameze
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...
Structural change and estimated persistence in the GARCH(1,1)-model
Prof. Dr. Walter Krämer, Baudouin Tameze Azamo
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...