Research on Spurious Co-persistence of Threshold Vector GARCH Model with Structural Change
多元变结构门限GARCH模型的伪协同持续性研究

Volatility persistence is an important property of finance time series.The relationship between GARCH model with structural change and IGARCH model is proved in theory,and the definition of spurious co-persistence of threshold vector GARCH model with structural change is given based on spurious persistence in volatility.Empirical results show that daily return series of Shanghai and Shenzhen have strong persistence in volatility and they are spurious co-persistent.