IGARCH and variance change in the U.S. long-run interest rate
Shows that a one-time variance change in the long run interest rate spuriously suggests that it can be described with an IGARCH process. Detection of variance change using an statistical test; Correlation of variance with a change in monetary policy; Characteristics of ARCH type process.
|Keywords||USA, degree of freedom, interest rates|
Franses, Ph.H.B.F.. (1995). IGARCH and variance change in the U.S. long-run interest rate. Applied Economics Letters, 113–114. Retrieved from http://hdl.handle.net/1765/2092