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2008-2009 | 49-50 | 109--143
Tytuł artykułu

Markov Switching in Stochastic Variance : Bayesian Comparision of Two Simple Models

Warianty tytułu
Języki publikacji
EN
Abstrakty
EN
In the paper two particular Markov Switching Stochastic Volatility models (MSSV) are under consideration: one with a switching intercept in the log-volatility equation, and the other — with a regime-dependent autoregression parameter. While the former one is fairly common in the literature (as a tool of taking account for regimes of different mean volatility level), the latter has not been paid almost any attention so far. We note the fact, that state-varying mean volatility may arise from switches in the intercept or in the autoregression parameter. Hence, we aim to compare these two models in respect of goodness of fit to the data from the Polish financial market, employing Bayesian techniques of estimation and model comparison. Clear evidence of structural shifts in the volatility pattern is found. Two different regimes of the economy are characterized in terms of the mean volatility level and the variance of volatility. (original abstract)
Rocznik
Tom
Strony
109--143
Opis fizyczny
Twórcy
  • Krakowska Akademia im. Andrzeja Frycza Modrzewskiego w Krakowie
Bibliografia
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  • Granger C.W.J., Hyung N. 1999. Occasional Structural Breaks and Long Memory, Discussion Paper 99-14, Department of Economics, University of California, San Diego.
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  • Krolzig, H.-M. 1997. Markov-Switching Vector Autoregressions: Modelling, Statistical Inference, and Application to Business Cycle Analysis, Lecture Notes in Economics and Mathematical Systems, New York/Berlin/Heidelberg: Springer.
  • Newton M.A., Raftery A.E. 1994. Approximate Bayesian inference by the Weighted Likelihood Bootstrap with Discussion. Journal of the Royal Statistical Society B 56, 1.
  • Nielsen S., Olesen J. O. 2000. Regime-switching stock returns and mean reversion, Working paper 11-2000, Institut for Nationalokonomi, http://citeseer.ist.psu.edu
  • Shibata M., Watanabe T. 2005. Bayesian analysis of a Markov switching stochastic volatility model, Journal of Japan Statistical Society 35, 2.
  • So M. K. P., Lam K., Li W. K. 1998. A stochastic volatility model with Markov switching, Journal of Business and Economic Statistics 16, 2.
  • Pajor A., 2003. Procesy zmienności stochastycznej SV w bayesowskiej analizie finansowych szeregów czasowych (Stochastic Volatility Processes in Bayesian analysis of financial time series), Cracow University of Economics, Cracow 2003.
  • Smith D. R., 2000. Markov-switching and stochastic volatility diffusion models for short-term interest rates, http://citeseer.ist.psu.edu
  • Tanner M.T., Wong W. 1987. The Calculation of Posterior Distributions by Data Augmentation, Journal of the American Statistical Association 82.
Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.ekon-element-000164715162

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