Viterbi-Based Estimation for Markov Switching GARCH Model
We outline a two-stage estimation method for a Markov-switching Generalized Autoregressive Conditional Heteroscedastic (GARCH) model modulated by a hidden Markov chain. The first stage involves the estimation of a hidden Markov chain using the Vitberi algorithm given the model parameters. The second stage uses the maximum likelihood method to estimate the model parameters given the estimated hidden Markov chain. Applications to financial risk management are discussed through simulated data.
If you experience problems downloading a file, check if you have the proper application to view it first. 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.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 19 (2012)
Issue (Month): 3 (August)
|Contact details of provider:|| Web page: http://www.tandfonline.com/RAMF20|
|Order Information:||Web: http://www.tandfonline.com/pricing/journal/RAMF20|
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.:
- Carl Chiarella & Sara Pasquali & Wolfgang Runggaldier, 2001. "On Filtering in Markovian Term Structure Models (An Approximation Approach)," Research Paper Series 65, Quantitative Finance Research Centre, University of Technology, Sydney.
- Chiarella, Carl & Hung, Hing & T, Thuy-Duong, 2009.
"The volatility structure of the fixed income market under the HJM framework: A nonlinear filtering approach,"
Computational Statistics & Data Analysis,
Elsevier, vol. 53(6), pages 2075-2088, April.
- Carl Chiarella & Thuy-Duong To, 2005. "The Volatility Structure of the Fixed Income Market under the HJM Framework: A Nonlinear Filtering Approach," Research Paper Series 150, Quantitative Finance Research Centre, University of Technology, Sydney.
- Carl Chiarella & Hing Hung & Thuy-Duong To, 2005. "The Volatility Structure of the Fixed Income Market under the HJM Framework: A Nonlinear Filtering Approach," Research Paper Series 151, Quantitative Finance Research Centre, University of Technology, Sydney.
- Markus Haas, 2004. "A New Approach to Markov-Switching GARCH Models," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 2(4), pages 493-530.
- Elliott, R. J. & Malcolm, W. P. & Tsoi, Allanus H., 2003. "Robust parameter estimation for asset price models with Markov modulated volatilities," Journal of Economic Dynamics and Control, Elsevier, vol. 27(8), pages 1391-1409, June.
- Ram Bhar & Carl Chiarella, 1995. "The Estimation of the Heath-Jarrow-Morton Model by Use of Kalman Filtering Techniques," Working Paper Series 54, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
- Elliott, Robert J. & Hunter, William C. & Jamieson, Barbara M., 1998. "Drift and volatility estimation in discrete time," Journal of Economic Dynamics and Control, Elsevier, vol. 22(2), pages 209-218, February.
- Peter Winker & Dietmar Maringer, 2009. "The convergence of estimators based on heuristics: theory and application to a GARCH model," Computational Statistics, Springer, vol. 24(3), pages 533-550, August.
- Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-84, March.
When requesting a correction, please mention this item's handle: RePEc:taf:apmtfi:v:19:y:2012:i:3:p:219-231. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael McNulty)
If references are entirely missing, you can add them using this form.