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

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Author Info
Soosung Hwang
Steve E. Satchell & Pedro L. Valls Pereira

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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

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Publisher Info
Paper provided by Econometric Society in its series Econometric Society 2004 Latin American Meetings with number 198.

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Date of creation: 11 Aug 2004
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Handle: RePEc:ecm:latm04:198

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Related research
Keywords: Stochastic Volatility; Markov Switching; Persistence;

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C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Estimation

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