Forecasting Markov-switching dynamic, conditionally heteroscedastic processes

Recursive formulae are derived for the multi-step point forecasts and forecast standard errors of Markov switching models with ARMA([infinity],q) dynamics (including the fractionally integrated case) and conditional heteroscedasticity in ARCH([infinity]) form. Hamilton's dynamic models of switching mean and variance are also treated, in a slightly modified version of the analysis.

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Year of publication:	2004
Authors:	Davidson, James
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 68.2004, 2, p. 137-147
Publisher:	Elsevier
Subject:	Forecasts Markov-switching ARFIMA ARCH

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005223719