The Effects of Structural Breaks in Arch and GARCH Parameters on Persistence of GARCH Models
13 Pages Posted: 24 Nov 2004
Abstract
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 does not necessarily indicate the same level of persistence over the sample period.
Keywords: Volatility, GARCH, Structural Breaks, Persistence
JEL Classification: C13
Suggested Citation: Suggested Citation
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