This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Theory and Inference for a Markov-Switching GARCH Model

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Luc Bauwens
Arie Preminger
Jeroen V.K. Rombouts

Additional information is available for the following registered author(s):

Abstract

We develop a Markov-switching GARCH model (MS-GARCH) wherein the conditional mean and variance switch in time from one GARCH process to another. The switching is governed by a hidden Markov chain. We provide sufficient conditions for geometric ergodicity and existence of moments of the process. Because of path dependence, maximum likelihood estimation is not feasible. By enlarging the parameter space to include the state variables, Bayesian estimation using a Gibbs sampling algorithm is feasible. We illustrate the model on SP500 daily returns.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://www.cirpee.org/fileadmin/documents/Cahiers_2007/CIRPEE07-33.pdf
File Format: application/pdf
File Function:
Download Restriction: no

Publisher Info
Paper provided by CIRPEE in its series Cahiers de recherche with number 0733.

Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Length:
Date of creation: 2007
Date of revision:
Handle: RePEc:lvl:lacicr:0733

Contact details of provider:
Postal: CP 8888, succursale Centre-Ville, Montr�al, QC H3C 3P8
Phone: (514) 987-8161
Web page: http://www.cirpee.org/
More information through EDIRC

For technical questions regarding this item, or to correct its listing, contact: (Johanne Perron).

Related research
Keywords: GARCH; Markov-switching; Bayesian inference;

Other versions of this item:

Find related papers by JEL classification:
C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Bayesian Analysis
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions
C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation and Testing

This paper has been announced in the following NEP Reports:

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Francq, Christian & Zako an, Jean-Michel, 2002. "Comments On The Paper By Minxian Yang:," Econometric Theory, Cambridge University Press, vol. 18(03), pages 815-818, June. [Downloadable!]
  2. Dhiman Das, 2004. "A Bayesian algorithm for a Markov Switching GARCH model," Computing in Economics and Finance 2004 30, Society for Computational Economics.
  3. Bollen, Nicolas P. B. & Gray, Stephen F. & Whaley, Robert E., 2000. "Regime switching in foreign exchange rates: Evidence from currency option prices," Journal of Econometrics, Elsevier, vol. 94(1-2), pages 239-276. [Downloadable!] (restricted)
  4. Dhiman Das & B.Hark Yoo, 2004. "A Bayesian MCMC Algorithm for Markov Switching GARCH models," Econometric Society 2004 North American Summer Meetings 179, Econometric Society.
  5. Dueker, Michael J, 1997. "Markov Switching in GARCH Processes and Mean-Reverting Stock-Market Volatility," Journal of Business & Economic Statistics, American Statistical Association, vol. 15(1), pages 26-34, January.
    Other versions:
  6. Gray, Stephen F., 1996. "Modeling the conditional distribution of interest rates as a regime-switching process," Journal of Financial Economics, Elsevier, vol. 42(1), pages 27-62, September. [Downloadable!] (restricted)
  7. Abramson, Ari & Cohen, Israel, 2007. "On The Stationarity Of Markov-Switching Garch Processes," Econometric Theory, Cambridge University Press, vol. 23(03), pages 485-500, June. [Downloadable!]
  8. Dhiman Das & B.Hark Yoo, 2004. "A Bayesian MCMC Algorithm for Markov Switching GARCH models," Econometric Society 2004 Far Eastern Meetings 451, Econometric Society.
  9. Hamilton, James D. & Susmel, Raul, 1994. "Autoregressive conditional heteroskedasticity and changes in regime," Journal of Econometrics, Elsevier, vol. 64(1-2), pages 307-333. [Downloadable!] (restricted)
    Other versions:
  10. Markus Haas, 2004. "A New Approach to Markov-Switching GARCH Models," Journal of Financial Econometrics, Oxford University Press, vol. 2(4), pages 493-530. [Downloadable!] (restricted)
  11. Christian Francq & Michel Roussignol & Jean-Michel Zakoian, . "Conditional heteroskedasticity driven by hidden Markov chains," Sonderforschungsbereich 373 1998-86, Humboldt Universitaet Berlin.
    Other versions:
Full references

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Szabolcs Blazsek & Anna Downarowicz, 2008. "Regime switching models of hedge fund returns," Faculty Working Papers 12/08, School of Economics and Business Administration, University of Navarra. [Downloadable!]
Statistics
Access and download statistics

Did you know? About 1000 archives contribute their bibliographic data to RePEc.

This page was last updated on 2009-11-30.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.