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Article: A stochastic volatility model with Markov switching
Title | A stochastic volatility model with Markov switching |
---|---|
Authors | |
Keywords | ARCH model Bayesian inference Data augmentation Gibbs sampling Monte Carlo Markov chain |
Issue Date | 1998 |
Publisher | American Statistical Association. The Journal's web site is located at http://www.amstat.org/publications/jbes/index.cfm?fuseaction=main |
Citation | Journal Of Business And Economic Statistics, 1998, v. 16 n. 2, p. 244-253 How to Cite? |
Abstract | This article presents a new way of modeling time-varying volatility. We generalize the usual stochastic volatility models to encompass regime-switching properties. The unobserved state variables are governed by a first-order Markov process. Bayesian estimators are constructed by Gibbs sampling. High-, medium- and low-volatility states are identified for the Standard and Poor's 500 weekly return data. Persistence in volatility is explained by the persistence in the low- and the medium-volatility states. The high-volatility regime is able to capture the 1987 crash and overlap considerably with four U.S. economic recession periods. |
Persistent Identifier | http://hdl.handle.net/10722/82744 |
ISSN | 2023 Impact Factor: 2.9 2023 SCImago Journal Rankings: 3.385 |
ISI Accession Number ID | |
References |
DC Field | Value | Language |
---|---|---|
dc.contributor.author | So, MKP | en_HK |
dc.contributor.author | Lam, K | en_HK |
dc.contributor.author | Li, WK | en_HK |
dc.date.accessioned | 2010-09-06T08:32:55Z | - |
dc.date.available | 2010-09-06T08:32:55Z | - |
dc.date.issued | 1998 | en_HK |
dc.identifier.citation | Journal Of Business And Economic Statistics, 1998, v. 16 n. 2, p. 244-253 | en_HK |
dc.identifier.issn | 0735-0015 | en_HK |
dc.identifier.uri | http://hdl.handle.net/10722/82744 | - |
dc.description.abstract | This article presents a new way of modeling time-varying volatility. We generalize the usual stochastic volatility models to encompass regime-switching properties. The unobserved state variables are governed by a first-order Markov process. Bayesian estimators are constructed by Gibbs sampling. High-, medium- and low-volatility states are identified for the Standard and Poor's 500 weekly return data. Persistence in volatility is explained by the persistence in the low- and the medium-volatility states. The high-volatility regime is able to capture the 1987 crash and overlap considerably with four U.S. economic recession periods. | en_HK |
dc.language | eng | en_HK |
dc.publisher | American Statistical Association. The Journal's web site is located at http://www.amstat.org/publications/jbes/index.cfm?fuseaction=main | en_HK |
dc.relation.ispartof | Journal of Business and Economic Statistics | en_HK |
dc.subject | ARCH model | en_HK |
dc.subject | Bayesian inference | en_HK |
dc.subject | Data augmentation | en_HK |
dc.subject | Gibbs sampling | en_HK |
dc.subject | Monte Carlo Markov chain | en_HK |
dc.title | A stochastic volatility model with Markov switching | en_HK |
dc.type | Article | en_HK |
dc.identifier.openurl | http://library.hku.hk:4550/resserv?sid=HKU:IR&issn=0735-0015&volume=16&issue=2&spage=244&epage=253&date=1998&atitle=A+stochastic+volatility+model+with+markov+switching | en_HK |
dc.identifier.email | Li, WK: hrntlwk@hku.hk | en_HK |
dc.identifier.authority | Li, WK=rp00741 | en_HK |
dc.description.nature | link_to_subscribed_fulltext | - |
dc.identifier.doi | 10.2307/1392580 | - |
dc.identifier.scopus | eid_2-s2.0-0032333297 | en_HK |
dc.identifier.hkuros | 31220 | en_HK |
dc.relation.references | http://www.scopus.com/mlt/select.url?eid=2-s2.0-0032333297&selection=ref&src=s&origin=recordpage | en_HK |
dc.identifier.volume | 16 | en_HK |
dc.identifier.issue | 2 | en_HK |
dc.identifier.spage | 244 | en_HK |
dc.identifier.epage | 253 | en_HK |
dc.identifier.isi | WOS:000072727300016 | - |
dc.publisher.place | United States | en_HK |
dc.identifier.scopusauthorid | So, MKP=7004473851 | en_HK |
dc.identifier.scopusauthorid | Lam, K=36492945700 | en_HK |
dc.identifier.scopusauthorid | Li, WK=14015971200 | en_HK |
dc.identifier.issnl | 0735-0015 | - |