Forecasting trading-session return volatility in Taiwan futures market: a periodic regime switching with jump approach

DOI10.1007/S10690-023-09415-WzbMATH Open1542.91396MaRDI QIDQ6563718FDOQ6563718

Authors: Yihao Lai, Yi-Chiuan Wang, Yu-Ching Chang 

Publication date: 27 June 2024

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

zbMATH Keywords

jump processout-of-samplevolatility forecastingperiodic regime switching model

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Title not available (Why is that?)
• Forecasting S\&P 100 volatility: The incremental information content of implied volatilities and high-frequency index returns

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