Sentence examples for persistence parameters from inspiring English sources

One popular restriction on the persistence parameters of GARCH models is referred to as "persistence parameters sum up to unit".

The mean (median) of implied persistence parameters is still relatively constant for log expected returns.

Therefore, it would be interesting to model volatility clustering with such models while imposing restrictions on the persistence parameters.

Finally, since it has been observed that the sum of the persistence parameters exceeds the unitary value in earlier GARCH estimations, it can be deduced that the variance might not be well behaved in such models.

By comparative analysis, we find that the first-order autoregressive persistence parameters of mean (median) values are 0.964003 and 0.962121, respectively, for a given industry; persistence values are high.

However, this can be reduced by adjusting the implicit persistence parameter (0.9999).

The enhanced PM2.5 model was compared with three alternative models, including the basic NLR model, the basic NLR model with a persistence parameter added, and the NLR model with persistence and PM24.

The standard deviation of the industry persistence parameter is low, only 0.017613, while the ROE continuous parameter's standard deviation is 0.181218, which is larger than the log returns.

From Table 10, we find that annual persistence parameter estimation is less than the quarter parameter most of the time, and the logarithm return and long unconditional expected return are optimal.

This effect is estimated conditional on the health status of the parent in 2006 (with a persistence parameter λ) and on the other control variables appearing in Eq. (1) of the main text.

Unlike the present study that focuses on panel methods, Romero-Ávila and Usabiaga (2012) exclusively used univariate unit root tests (without considering breaks) and persistence measures like the median-unbiased estimates of the persistence parameter and the half-life of a shock.