How Persistent is Volatility? An Answer with Stochastic Volatility Models with Markov Regime Switching State Equations

Soosung Hwang (soosung.hwang@gmail.com) and Steve E. Satchell & Pedro L. Valls Pereira
Authors registered in the RePEc Author Service: Pedro L. Valls Pereira

No 198, Econometric Society 2004 Latin American Meetings from Econometric Society

Abstract: We introduce SV models with Markov regime changing state equation (SVMRS) to investigate the important properties of volatility, high persistence and smoothness. With the quasi-ML approach proposed in our study, we showed that volatility is far less persistent and smooth than the GARCH or SV models suggest

Keywords: Stochastic Volatility; Markov Switching; Persistence (search for similar items in EconPapers)
JEL-codes: C13 (search for similar items in EconPapers)
Date: 2004-08-11
New Economics Papers: this item is included in nep-ets and nep-fin
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Citations: View citations in EconPapers (6)

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