Modeling Financial Time Series Volatility with Markov Switching Models

• Autorzy: Monika Kośko , Michał Pietrzak
• Języki publikacji: EN

Abstrakty

EN

The main purpose of this article is to check whether, a better quality volatility predictions can be obtained from MS-AR-GARCH than from AR-GARCH models. At first the estimation of those types of models has been carried out for the investigated series. Next, having well-estimated models, one-day predictions have been pointed out for the future thirty sessions. The following step of the research was calculating the ex post prediction error, in the form of RMSE, in order to compare the prediction properties of the both analyzed types of models. (fragment of text)

Słowa kluczowe

EN

Markov models; Switching model; Variability; Financial markets

PL

Modele Markowa; Model przełącznikowy; Zmienność; Rynki finansowe

• Czasopismo: Dynamic Econometric Models
• Rocznik: 2008
• Tom: 8
• Strony: 155--162

Twórcy

autor

Monika Kośko

• University of Computer Science and Economics in Olsztyn, Poland

autor

Michał Pietrzak

• Nicolaus Copernicus University in Toruń, Poland

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