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Moments of Markov switching models

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  • Timmermann, Allan

Abstract

This paper derives the moments for a range of Markov switching models. We characterize in detail the patterns of volatility, skewness and kurtosis that these models can produce as a function of the transition probabilities and parameters of the underlying state densities entering the switching process. The autocovariance of the level and squares of time series generated by Markov switching processes is also derived and we use these results to shed light on the relationship between volatility clustering, regime switches and structural breaks in time series models.

Suggested Citation

  • Timmermann, Allan, 1999. "Moments of Markov switching models," LSE Research Online Documents on Economics 119124, London School of Economics and Political Science, LSE Library.
    • Handle: RePEc:ehl:lserod:119124
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    File URL: http://eprints.lse.ac.uk/119124/
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    References listed on IDEAS

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    More about this item

    Keywords

    Markov swtiching; higher order moments; mixtures of normals; volatility clustering;
    All these keywords.

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General

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    Access and download statistics

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