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A Simple Regime-Switching Model for Stochastic Volatilities

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Author Info
Christopeit, Norbert
Axel Cron
Abstract

In this paper, a simple Markov switching model for the volatility of financial returns is presented. We discuss a moment estimation procedure and develop forecasts for future squared volatilities.

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File URL: ftp://web.bgse.uni-bonn.de/pub/RePEc/bon/bonsfb/bonsfb406.pdf
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Publisher Info
Paper provided by University of Bonn, Germany in its series Discussion Paper Serie B with number 406.

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Date of creation: Jul 1997
Date of revision:
Handle: RePEc:bon:bonsfb:406

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Postal: Bonn Graduate School of Economics, University of Bonn, Adenauerallee 24 - 26, 53113 Bonn, Germany
Fax: +49 228 73 9221
Web page: http://www.bgse.uni-bonn.de/index.php?id=517

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Related research
Keywords: Stochastic volatilities; Markov regime switching; Moment estimatior.;

Find related papers by JEL classification:
C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation and Testing
C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Other Model Applications

References listed on IDEAS
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  1. Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-84, March. [Downloadable!] (restricted)
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This page was last updated on 2009-10-29.

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