The Effects of Structural Breaks in Arch and GARCH Parameters on Persistence of GARCH Models

13 Pages Posted: 24 Nov 2004

See all articles by Soosung Hwang

Soosung Hwang

Sungkyunkwan University - Department of Economics

Pedro L. Valls Pereira

Sao Paulo School of Economics - FGV and CEQEF- FGV

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

Hwang, Soosung and Valls Pereira, Pedro L., The Effects of Structural Breaks in Arch and GARCH Parameters on Persistence of GARCH Models. Cass Business School Research Paper, Available at SSRN: https://ssrn.com/abstract=623162 or http://dx.doi.org/10.2139/ssrn.623162

Soosung Hwang (Contact Author)

Sungkyunkwan University - Department of Economics ( email )

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Pedro L. Valls Pereira

Sao Paulo School of Economics - FGV and CEQEF- FGV ( email )

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São Paulo, São Paulo 01332-000
Brazil
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