On the origin of high persistence in GARCH-models

We show that the (Baillie and Chung, 2001) minimum distance estimates of the GARCH (1,1) model induce spurious persistence in the volatility when there are structural changes in the mean of the process.

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Year of publication:	2012
Authors:	Krämer, Walter ; Tameze, Baudouin ; Christou, Konstantinos
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 114.2012, 1, p. 72-75
Publisher:	Elsevier
Subject:	Minimum distance estimates \| Structural change \| Long memory \| GARCH

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Type of publication:	Article
Classification:	C13 - Estimation ; C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011041785