Regime Switches in Swedish Interest Rates

Ulf Erlandsson

No 2002:5, Working Papers from Lund University, Department of Economics

Abstract: This paper examines the forecasting properties of a Markov regime-switching model applied to Swedish interest rate volatility. A Monte Carlo testing procedure is used to arrive at a three state specification that is able to capture the high degree of leptokurtosis in the data without additional modelling of conditional heteroskedasticity. The final specification is shown to possess good forecasting properties both in general and for specific samples and horizons, something that the benchmark processes are unable to achieve.

Keywords: Regime switching; forecasting; volatility (search for similar items in EconPapers)
JEL-codes: C22 C52 E43 (search for similar items in EconPapers)
Pages: 20 pages
Date: 2002-02-26, Revised 2005-03-04
New Economics Papers: this item is included in nep-cba and nep-ets
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://project.nek.lu.se/publications/workpap/Papers/WP02_5.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hhs:lunewp:2002_005

Access Statistics for this paper

More papers in Working Papers from Lund University, Department of Economics School of Economics and Management, Box 7080, S-22007 Lund, Sweden. Contact information at EDIRC.
Bibliographic data for series maintained by Iker Arregui Alegria ().