Modeling of stock indices with HMM-SV models
The use of volatility models to conduct volatility forecasting is gaining momentum in empirical literature. The performance of volatility persistence, as indicated by the estimated parameter φ, in Stochastic Volatility (SV) model is typically high. Since future values in SV models are based...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
General Association of Economists from Romania
2017-06-01
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| Series: | Theoretical and Applied Economics |
| Subjects: | |
| Online Access: |
http://store.ectap.ro/articole/1268.pdf
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