How Persistent is Volatility? An Answer with Stochastic Volatility Models with Markov Regime Switching State Equations

We introduce SV models with Markov regime changing state equation (SVMRS) to investigate the important properties of volatility, high persistence and smoothness. With the quasi-ML approach proposed in our study, we showed that volatility is far less persistent and smooth than the GARCH or SV models suggest

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Year of publication:	2004-08-11
Authors:	Hwang, Soosung ; Satchell, Steve E. ; Pereira, Pedro L. Valls
Institutions:	Econometric Society
Subject:	Stochastic Volatility \| Markov Switching \| Persistence

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Extent:	text/html
Series:	Econometric Society 2004 Latin American Meetings.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series Econometric Society Latin American Meetings 2004 Number 198
Classification:	C13 - Estimation
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005129787