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.

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Keywords USA, degree of freedom, interest rates
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Journal Applied Economics Letters
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