VOLATILITY ANALYSIS OF REGIME-SWITCHING MODELS

被引：2
|
作者：
Liu, Yue [1 ]
Xie, Zhuyun [1 ]
Yao, Jingjing [1 ]
Li, Kaodui [1 ]
机构：
[1] Jiangsu Univ, Sch Finance & Econ, Zhenjiang, Jiangsu, Peoples R China
来源：
PROBABILITY IN THE ENGINEERING AND INFORMATIONAL SCIENCES | 2021年 / 35卷 / 04期
基金：
中国博士后科学基金;
关键词：
Markov chains; regime-switching model; volatility analysis;
D O I：
10.1017/S0269964820000236
中图分类号：
T [工业技术];
学科分类号：
08 ;
摘要：
This paper investigates the volatility in regime-switching models formulated based on the geometric Brownian motion with its drift and volatility factors randomized with Markov chains. By developing explicit formulas about occupation time of Markov chains, we analysis the difference between global volatility of this model and the volatility caused by Brownian randomness, in order to measure the volatility caused by regime-switching after justifying its existence. Utilizing this structure of volatility, we optimize the methods of volatility parameters estimation.
引用
收藏
页码：928 / 941
页数：14
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