SFB 303 Discussion Paper No. B-406

Author: Christopeit, Norbert, and Axel Cron
Title: A Simple Regime-Switching Model for Stochastic Volatilities
Abstract: In this paper, a simple Markov switching model for the volatility of financial returns is presented. We discuss a moment estimation procedure and develop forecasts for future squared volatilities.
Keywords: Stochastic volatilities, Markov regime switching, Moment estimatior.
JEL-Classification-Number: C52, C53
Creation-Date: Juli 1997
URL: ../1997/b/bonnsfb406.pdf"

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