A Simple Regime-Switching Model for Stochastic Volatilities

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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Year of publication:	1997-07
Authors:	Christopeit, Norbert ; Cron, Axel
Institutions:	University of Bonn, Germany
Subject:	Stochastic volatilities \| Markov regime switching \| Moment estimatior

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Extent:	application/pdf
Series:	Discussion Paper Serie B.
Type of publication:	Book / Working Paper
Language:	English
Classification:	C52 - Model Evaluation and Testing ; C53 - Forecasting and Other Model Applications
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005032158