Testing volatility persistence on Markov switching stochastic volatility models

Qi Pan and Yong Li ()

Economic Modelling, 2013, vol. 35, issue C, 45-50

Abstract: In the literature, some researchers found that the high persistence of the volatility can be caused by Markov regime switching. This concern can be reflected as a unit root problem on the basis of Markov switching models. In this paper, our main purpose is to provide a Bayesian unit root testing approach for Markov switching stochastic volatility (MSSV) models. We illustrate the developed approach using S&P 500 daily return covering the subprime crisis started in 2008.

Keywords: Bayes factor; Markov switching; Persistence; Stochastic volatility; Unit root (search for similar items in EconPapers)
JEL-codes: C11 C12 C13 (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:35:y:2013:i:c:p:45-50

DOI: 10.1016/j.econmod.2013.06.029

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