Long memory with Markov-Switching GARCH

Long memory with Markov-Switching GARCH

Modeling carbon spot and futures price returns with GARCH and Markov switching GARCH models

This paper thoroughly investigates the price dynamics of carbon spot and futures returns for the first commitment period ranging from 2008 to 2012 with the aim to develop an adequate spot-returns-model. We apply a broad spectrum of various GARCH models including different distributions for model innovations. Both time series, spot and futures returns, exhibit asymmetric behavior in their varian...

Periodic Long Memory GARCH models

A distinguishing feature of the intra-day time-varying volatility of financial time series is given by the presence of long-range dependence of periodic type due mainly to time-of-the-day phenomena. In this work we introduce a model able to describe the empirical evidence given by this periodic longmemory behaviour. The model, named PLM-GARCH (Periodic Long Memory GARCH), represents a natural e...

Modeling the Effective Factors on Economic Growth in Iran: Markov Switching GARCH Approach

Economic growth is one of the most important macroeconomic indicators in each country that its sustainability for a long time is one of the most basic and necessary conditions to achieve economic development.  The aim of this paper is modeling the effective factors of economic growth in Iran concerning the period 1973-2014 using a Markov switching GARCH model (MS-GARCH). The contribution of thi...

On the Stationarity of Markov-Switching GARCH Processes

GARCH models with Markov-switching regimes are often used for volatility analysis of …nancial time series. Such models imply less persistence in the conditional variance than the standard GARCH model, and potentially provide a signi…cant improvement in volatility forecast. Nevertheless, conditions for asymptotic wide-sense stationarity have been derived only for some degenerated models. In this...