IDEAS home Printed from https://ideas.repec.org/a/taf/apeclt/v16y2009i12p1205-1210.html
   My bibliography  Save this article

Markov switching and long memory: a Monte Carlo analysis

Author

Listed:
  • Wei-Choun Yu

Abstract

This article finds the close relationship between long memory and some forms of Markov-switching models. The simulation results suggest: (1) when the transition probabilities are closer to unity, it is more likely to generate long memory process; (2) magnitude of regime-switching plays an important role in generating long memory; and (3) process with switching in variance (disturbance) is much less likely to explain long-memory process than switching in mean (intercept) and autoregressive coefficient. Therefore, given the observed high persistence in financial volatility data, volatility modelling by switching in mean and AR coefficient is preferred to that by switching in variance.

Suggested Citation

  • Wei-Choun Yu, 2009. "Markov switching and long memory: a Monte Carlo analysis," Applied Economics Letters, Taylor & Francis Journals, vol. 16(12), pages 1205-1210.
    • Handle: RePEc:taf:apeclt:v:16:y:2009:i:12:p:1205-1210
    DOI: 10.1080/13504850701367296
    as

    Download full text from publisher

    File URL: http://www.informaworld.com/openurl?genre=article&doi=10.1080/13504850701367296&magic=repec&7C&7C8674ECAB8BB840C6AD35DC6213A474B5
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/13504850701367296?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Baek, Changryong & Fortuna, Natércia & Pipiras, Vladas, 2014. "Can Markov switching model generate long memory?," Economics Letters, Elsevier, vol. 124(1), pages 117-121.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:apeclt:v:16:y:2009:i:12:p:1205-1210. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/RAEL20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.