A dynamic Markov regime-switching GARCH model and its cumulative impulse response function

DOI10.1016/j.spl.2018.02.059zbMath1463.62266OpenAlexW2795602746MaRDI QIDQ1642424

Yujin Kim, Eun-Ju Hwang

Publication date: 20 June 2018

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2018.02.059

zbMATH Keywords

forecastingvolatilitycumulative impulse responseregime-switching GARCH process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Markov processes: hypothesis testing (62M02)

Related Items

A dynamic Markov regime-switching asymmetric GARCH model and its cumulative impulse response function

Cites Work

• Dynamic behavior of volatility in a nonstationary generalized regime-switching GARCH model
• Analysis of time series subject to changes in regime
• Persistent-threshold-GARCH processes: model and application
• Explosive volatilities for threshold-GARCH processes generated by asymmetric innovations
• Rational-expectations econometric analysis of changes in regime. An investigation of the term structure of interest rates
• Fractionally integrated generalized autoregressive conditional heteroskedasticity
• Autoregressive conditional heteroskedasticity and changes in regime
• Generalized autoregressive conditional heteroscedasticity
• The impulse response function of the long memory GARCH process
• Theory and inference for a Markov switching GARCH model
• Forecasting Stock Market Volatility with Regime-Switching GARCH Models
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle