Testing volatility persistence on Markov switching stochastic volatility models |
| |
| Institution: | 1. Department of Statistical Sciences, University of Toronto, Toronto, Ontario M5S 3G3, Canada;2. Quantitative Engineering and Development, TD Securities, Toronto, Ontario M5K 1A2, Canada;3. Department of Statistics and Actuarial Science, University of Iowa, Iowa City, IA 52242, USA;1. National School of Public Health, 11521 Athens, Greece;2. National and Kapodistrian University of Athens, Medical School, Athens, Greece;3. Department of Political Sciences, University of Crete, Rethymno, Crete, Greece;1. Servicio de Urgencias, Hospital Universitario Puerta de Hierro-Majadahonda, Majadahonda, Madrid, España;2. Universidad Alfonso X El Sabio, Madrid, España;3. Servicio de Farmacia, Hospital Universitario Puerta de Hierro-Majadahonda, Majadahonda, Madrid, España;4. Servicio de Medicina Interna, Hospital Severo Ochoa de Leganés, Leganés, Madrid, España |
| |
| Abstract: | In the literature, some researchers found that the high persistence of the volatility can be caused by Markov regime switching. This concern can be reflected as a unit root problem on the basis of Markov switching models. In this paper, our main purpose is to provide a Bayesian unit root testing approach for Markov switching stochastic volatility (MSSV) models. We illustrate the developed approach using S&P 500 daily return covering the subprime crisis started in 2008. |
| |
| Keywords: | |
| 本文献已被 ScienceDirect 等数据库收录！ |
|
