Viterbi-Based Estimation for Markov Switching GARCH Model

DOI10.1080/1350486X.2011.620396zbMath1372.91117OpenAlexW2045317396MaRDI QIDQ5363199

Robert J. Elliott, Hong Miao, Tak Kuen Siu, John W. Lau

Publication date: 5 October 2017

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/1350486x.2011.620396

zbMATH Keywords

maximum likelihood estimationregime switchingGARCHfilterViterbi algorithmvolatilityvalue at riskreference probability

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Markov processes: estimation; hidden Markov models (62M05)

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Stochastic volatility with regime switching and uncertain noise: filtering with sub-linear expectations

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