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The persistent nature of equity volatility is investigated by means of a multi-factor stochastic volatility model with time varying parameters. The parameters are estimated by means of a sequential matching procedure which adopts as auxiliary model a time-varying generalization of the HAR model...
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We describe the package MSGARCH, which implements Markov-switching GARCH models in R with efficient C++ object-oriented programming. Markov-switching GARCH models have become popular methods to account for regime changes in the conditional variance dynamics of time series. The package MSGARCH...
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The prediction of volatility is of primary importance for business applications in risk management, asset allocation and pricing of derivative instruments. This paper proposes a novel measurement model which takes into consideration the possibly time-varying interaction of realized volatility...
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