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Applied Economics Letters Volume 2, 1995 - Issue 4
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Original Articles

IGARCH and variance change in the US long-run interest rate

Philip Hans Franses Department of Econometrics, Econometric Institute, Erasmus University Rotterdam, PO Box 1738, NL-3000 DR, Rotterdam, The Netherlands
Pages 113-114 | Received 30 Nov 1994, Published online: 02 Nov 2006
 
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Abstract

It is shown that a one-time variance change in the US long-run interest rate spuriously suggests that it can be described with an IGARCH(1,1) process. The variance change is detected using a simple statistical test, and it corresponds to a change in monetary policy.

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