Conditional heteroskedasticity driven by hidden Markov chains

DOI10.1111/1467-9892.00219MaRDI QIDQ2740104zbMATH OpenOpenAlexFDO

Authors Jean-Michel Zakoïan, C. Francq, M. Roussignol

Publication date 16 September 2001

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL http://crest.science/RePEc/wpstorage/1998-45.pdf

zbMATH Keywords

ARCH modelsconsistencyGARCH modelshidden Markov chainsmaximum likelihoodnonlinear time seriesstationary solutionsswitching models

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Point estimation (62F10) Markov processes: estimation; hidden Markov models (62M05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Review text

The authors consider a GARCH equation where coefficients depend on the state of a ~non-observed Markov chain. Necessary and sufficient conditions for existence of stationary and secondary stationary solutions of the equation are given. Properties of maximum likelihood estimates are studied. Some numerical illustrations are given.

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• The \(L^2\)-structures of standard and switching-regime GARCH models
• Neglecting parameter changes in GARCH models
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• Modeling time-varying parameters using artificial neural networks: a GARCH illustration
• On the stationarity of Markov-switching GARCH processes
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• Forecasting using locally stationary wavelet processes
• Evaluating the Lyapounov Exponent and Existence of Moments for Threshold AR-ARCH Models
• Conditionally heteroscedastic factorial HMMs for time series in finance
• Structure of a double autoregressive process driven by a hidden Markov chain
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• Probabilistic Properties of a Nonlinear ARMA Process with Markov Switching
• Level changes in volatility models
• Mixtures of nonlinear Poisson autoregressions
• Stable mixture GARCH models
• On geometric ergodicity of CHARME models
• A family of Markov-switching GARCH processes
• Consistency of maximum likelihood estimators for the regime-switching GARCH model
• Integrated Markov-switching GARCH process
• Neglecting structural breaks when estimating and valuing dynamic correlations for asset allocation
• The functional central limit theorem for Markov-switching GARCH model
• Volatility modelling in a Markov-switching environment: two Ornstein-Uhlenbeck-related approaches
• A general autoregressive model with Markov switching: estimation and consistency

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