Switching Regime Volatility: An Empirical Evaluation.
Détails
ID Serval
serval:BIB_28027
Type
Partie de livre
Collection
Publications
Institution
Titre
Switching Regime Volatility: An Empirical Evaluation.
Titre du livre
Applied Quantitative Methods for Trading and Investment
Editeur
Wiley Finance
Lieu d'édition
Chichester, UK
ISBN
9780470848852
9780470013267
9780470013267
Statut éditorial
Publié
Date de publication
2003
Editeur⸱rice scientifique
Dunis C. L., Laws J., Naim P.
Numéro de chapitre
6
Pages
193–211
Langue
anglais
Résumé
Markov switching models are one possible method to account for volatility clustering. This chapter aims at describing, in a pedagogical fashion, how to estimate a univariate switching model for daily foreign exchange returns which are assumed to be drawn in a Markovian way from alternative Gaussian distributions with different means and variances. An application shows that the US dollar/Deutsche Mark exchange rate can be modelled as a mixture of normal distributions with changes in volatility, but not in mean, where regimes with high and low volatility alternate. The usefulness of this methodology is demonstrated in a real life application, i.e. through the performance comparison of simple hedging strategies.
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Création de la notice
19/11/2007 10:55
Dernière modification de la notice
20/08/2019 14:07