Recent research suggests that long memory can be caused by regime switching and is easily confused with it. However, if the causes of confusion were properly controlled, they could be distinguished. Motivated by this idea, our study aims to distinguish between the long memory and regime switching of financial volatility. We firstly modeled the long memory and regime switching of volatility using the Fractionally Integrated Exponential GARCH (FIEGARCH) and Markov Regime-Switching EGARCH (MRS-EGARCH) frameworks, respectively, and performed a simulation study on their finite-sample properties whe...
