Forecasting Equity Volatility Dynamics with Markov-Switching EGARCH Models
Understanding and anticipating stock market volatility enables better portfolio management. We forecast US equity volatility with a Markov-Switching EGARCH model with one high and one low volatility regime. We show that this model contains similar information about future volatility as the VIX Index...
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| Format: | Thesis |
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Massachusetts Institute of Technology
2024
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| Online Access: | https://hdl.handle.net/1721.1/153697 |