English, Article, Journal or magazine article edition: Regime switching GARCH models Luc Bauwens; Arie Preminger; Jeroen V.K. Rombouts

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Bookmark: http://trove.nla.gov.au/version/178011
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Regime switching GARCH models
Author
  • Luc Bauwens
  • Arie Preminger
  • Jeroen V.K. Rombouts
Physical Description
  • preprint
Notes
  • We develop univariate regime-switching GARCH (RS-GARCH) models wherein the conditional variance switches in time from one GARCH process to another. The switching is governed by a time-varying probability, specified as a function of past information. We provide sufficient conditions for stationarity and existence of moments. Because of path dependence, maximum likehood estimation is infeasible. By enlarging the parameter space to include the state variables, Bayesian estimation using a Gibbs sampling algorithm is feasible. We apply this model using the NASDAQ daily returns series.
  • RePEc:ctl:louvec:2006006
  • We develop univariate regime-switching GARCH (RS-GARCH) models wherein the conditional variance switches in time from one GARCH process to another. The switching is governed by a time-varying probability, specified as a function of past information. We provide sufficient conditions for stationarity and existence of moments. Because of path dependence, maximum likelihood estimation is infeasible. By enlarging the parameter space to include the state variables, Bayesian estimation using a Gibbs sampling algorithm is feasible. We apply this model using the NASDAQ daily return series.
  • GARCH, regime switching, Bayesian inference.
  • RePEc:iea:carech:0608
Language
  • English
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