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

  • Soosung Hwang
  • Steve E. Satchell & Pedro L. Valls Pereira

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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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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  17. Soosung Hwang & Steve Satchell, 2005. "GARCH model with cross-sectional volatility: GARCHX models," Applied Financial Economics, Taylor & Francis Journals, vol. 15(3), pages 203-216.
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