The effects of structural breaks in ARCH and GARCH parameters on persistence of GARCH models

Communications in Statistics: Simulation and Computation

Volumn 37, Issue 3, 2008, Pages 571-578

  Hwang, Soosung ^a   Pereira, Pedro L Valls ^b  

^a CITY UNIVERSITY   (United Kingdom)

^b Ibmec   (Brazil)

Author keywords

GARCH; Persistence; Structural breaks; Volatility

Indexed keywords

EID: 43449103112     PISSN: 03610918     EISSN: 15324141     Source Type: Journal    
DOI: 10.1080/03610910701812378     Document Type: Article

References (10)