Markov Switching in GARCH Processes and Mean-Reverting Stock-Market Volatility
Bibliographic Data
| ID | 19418583 |
|---|---|
| Authors | Michael J Dueker (Federal Reserve Bank of St. Louis, corresponding author) |
| Year | 1997 |
| Volume | 15 |
| Issue | 1 |
| Pages | 26-34 |
| Publication date | 1997-01-01 |
| Peer Reviewed | Yes |
| Open Access | No |
| Type | ARTICLE |
| Venue | Journal of Business and Economic Statistics (JOURNAL) |
| Journal identifiers | ISSN: 0735-0015 • E-ISSN: 1537-2707 |
| Publisher | Informa UK Limited (PUBLISHER • GB) |
| DOI | 10.1080/07350015.1997.10524683 |
| OpenAlex | W2068413413 |
| Language | EN |
| Citations received | 8 |
| References cited | 15 |
This article introduces four models of conditional heteroscedasticity that contain Markov-switching parameters to examine their multiperiod stock-market volatility forecasts as predictions of options-implied volatilities. The volatility model that best predicts the behavior of the options-implied volatilities allows the Student-t degrees-of-freedom parameter to switch such that the conditional variance and kurtosis are subject to discrete shifts. The half-life of the most leptokurtic state is estimated to be a week, so expected market volatility reverts to near-normal levels fairly quickly following a spike
Autoregressive conditional heteroskedasticity · Conditional variance · Econometrics · Economics · Financial economics · Financial models with long-tailed distributions and volatility clustering · Forward volatility · Heteroscedasticity · Implied volatility · Kurtosis · Markov chain · Statistics · Stochastic volatility · Stock market · Complex Systems and Time Series Analysis · Financial Risk and Volatility Modeling · Market Dynamics and Volatility · Mathematics
Private sector involvement in the resolution of financial crises
Pandemic Shocks and Household Spending
Contagious switching
Inflation uncertainty
The use of Markov-Switching GARCH models in a Mexican rice spot price hedging algorithm with CME rice futures
Markov-Switching and Stochastic Volatility Diffusion Models of Short-Term Interest Rates
Identifying Bull and Bear Markets in Stock Returns
Markov Switching Garch Models
ARCH modeling in finance
Generalized autoregressive conditional heteroskedasticity
A Markov Model of Switching-Regime ARCH
Business-Cycle Phases and Their Transitional Dynamics
The Message in Weekly Exchange Rates in the European Monetary System
Persistence in Variance, Structural Change, and the GARCH Model
| Unique citing works | 8 |
|---|---|
| Citations per year | 0,31 |
| Citation span | 2000 - 2025 (26) |
| Citation velocity | recent |
| Highly cited | No |
| Citation types | Neutral: 7 |