Within-regime volatility dynamics for observable- and Markov-switching score-driven models

We study the novel Markov-switching (MS) Beta-t-EGARCH (exponential generalized autoregressive conditional heteroscedasticity) model, using within-regime volatility dynamics, similar to the recent observable-switching (OS) Beta-t-EGARCH model. We report in-sample results on the Standard & Poor’s...

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Vydané v:	Finance research letters Ročník 73; s. 106631
Hlavní autori:	Blazsek, Szabolcs, Kong, Dejun, Shadoff, Samantha R.
Médium:	Journal Article
Jazyk:	English
Vydavateľské údaje:	Elsevier Inc 01.03.2025
Predmet:	Dynamic conditional score (DCS) Generalized autoregressive score (GAS) Regime-switching volatility models Standard & Poor’s 500 (S&P 500) C53 C52 C22 Generalized autoregressive score (GAS) Standard & Poor’s 500 (S&P 500) Dynamic conditional score (DCS) Regime-switching volatility models
ISSN:	1544-6123
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