We show that persistence of conditional volatility in large samples could be exaggerated by the existence of structural … breaks in the ARCH and GARCH parameters. Our results suggest that extreme persistence frequently observed in index volatility …

We show that persistence of conditional volatility in large samples could be exaggerated by the existence of structural … breaks in the ARCH and GARCH parameters. Our results suggest that extreme persistence frequently observed in index volatility …

that generate target impulse response functions (IRFs) that change across volatility regimes, even strong, exogenous … properly accounted for. In such cases, it is essential to explicitly incorporate the shifts in unconditional volatility in … and sufficient rank condition that leverages moments implied by changes in volatility, the target IRFs can be point …