Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5062303 | Economics Letters | 2007 | 7 Pages |
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.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Walter Krämer, Baudouin Tameze Azamo,