Forecasting Markov-switching dynamic, conditionally heteroscedastic processes
Recursive formulae are derived for the multi-step point forecasts and forecast standard errors of Markov switching models with ARMA([infinity],q) dynamics (including the fractionally integrated case) and conditional heteroscedasticity in ARCH([infinity]) form. Hamilton's dynamic models of switching mean and variance are also treated, in a slightly modified version of the analysis.
Volume (Year): 68 (2004)
Issue (Month): 2 (June)
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