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Markov Switching Model Analysis of Implied Volatility for Market Indexes with Applications to S&P 500 and DAX
Joint Authors
Di Persio, Luca
Vettori, Samuele
Source
Issue
Vol. 2014, Issue 2014 (31 Dec. 2014), pp.1-17, 17 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2014-12-17
Country of Publication
Egypt
No. of Pages
17
Main Subjects
Abstract EN
We adopt a regime switching approach to study concrete financial time series with particular emphasis on their volatility characteristics considered in a space-time setting.
In particular the volatility parameter is treated as an unobserved state variable whose value in time is given as the outcome of an unobserved, discrete-time and discrete-state, stochastic process represented by a suitable Markov chain.
We will take into account two different approaches for inference on Markov switching models, namely, the classical approach based on the maximum likelihood techniques and the Bayesian inference method realized through a Gibbs sampling procedure.
Then the classical approach shall be tested on data taken from the Standard & Poor’s 500 and the Deutsche Aktien Index series of returns in different time periods.
Computations are given for a four-state switching model and obtained numerical results are put beside by explanatory graphs which report the outcomes obtained exploiting both smoothing and filtering algorithms used in the estimation/calibration procedures we proposed to infer on the switching model parameters.
American Psychological Association (APA)
Di Persio, Luca& Vettori, Samuele. 2014. Markov Switching Model Analysis of Implied Volatility for Market Indexes with Applications to S&P 500 and DAX. Journal of Mathematics،Vol. 2014, no. 2014, pp.1-17.
https://search.emarefa.net/detail/BIM-1041097
Modern Language Association (MLA)
Di Persio, Luca& Vettori, Samuele. Markov Switching Model Analysis of Implied Volatility for Market Indexes with Applications to S&P 500 and DAX. Journal of Mathematics No. 2014 (2014), pp.1-17.
https://search.emarefa.net/detail/BIM-1041097
American Medical Association (AMA)
Di Persio, Luca& Vettori, Samuele. Markov Switching Model Analysis of Implied Volatility for Market Indexes with Applications to S&P 500 and DAX. Journal of Mathematics. 2014. Vol. 2014, no. 2014, pp.1-17.
https://search.emarefa.net/detail/BIM-1041097
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1041097