Observable or latent Markov chains for score-driven regime-switching volatility?

We study the statistical and forecasting performances of two regime-switching Beta-t-EGARCH (exponential generalized autoregressive conditional heteroscedasticity) models, i.e. observable-switching (OS) Beta-t-EGARCH and Markov-switching (MS) Beta-t-EGARCH. Both are non-path-dependent score-driven r...

Full description

Bibliographic Details

Published in:	Applied economics Vol. 57; no. 52; pp. 8693 - 8709
Main Authors:	Blazsek, Szabolcs, Kong, Dejun, Shadoff, Samantha R.
Format:	Journal Article
Language:	English
Published:	Routledge 08.11.2025
Subjects:	Dynamic conditional score (DCS) generalized autoregressive score (GAS) Regime-switching models Score-driven volatility models standard & poor's 500 (S&P 500)
ISSN:	0003-6846, 1466-4283
Online Access:	Get full text
Tags:	Add Tag No Tags, Be the first to tag this record!