Improving GARCH volatility forecasts with regime-switching GARCH
نویسندگان
چکیده
منابع مشابه
Improving GARCH Volatility Forecasts with Regime-Switching GARCH
Many researchers use GARCH models to generate volatility forecasts. Using data on three major U.S. dollar exchange rates we show that such forecasts are too high in volatile periods. We argue that this is due to the high persistence of shocks in GARCH forecasts. To obtain more flexibility regarding volatility persistence, this paper generalizes the GARCH model by distinguishing two regimes with...
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Many researchers use GARCH models to generate volatility forecasts. We show, however, that such forecasts are too variable. To correct for this, we extend the GARCH model by distinguishing two regimes with different volatility levels. GARCH effects are allowed within each regime, so that our model generalizes existing regime-switching models that allow for ARCH terms only. The empirical applica...
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ژورنال
عنوان ژورنال: Empirical Economics
سال: 2002
ISSN: 0377-7332,1435-8921
DOI: 10.1007/s001810100100