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|Type: ||Journal article|
|Title: ||Viterbi-based estimation for Markov switching GARCH model|
|Author: ||Elliott, Robert James|
Lau, John W.
Siu, Tak Kuen
|Citation: ||Applied Mathematical Finance, 2012; 19(3):219-231|
|Issue Date: ||2012|
|School/Discipline: ||School of Mathematical Sciences|
|Robert J. Elliott, John W. Lau, Hong Miao & Tak Kuen Siu|
|Abstract: ||We outline a two-stage estimation method for a Markov-switching Generalized Autoregressive Conditional Heteroscedastic (GARCH) model modulated by a hidden Markov chain. The first stage involves the estimation of a hidden Markov chain using the Vitberi algorithm given the model parameters. The second stage uses the maximum likelihood method to estimate the model parameters given the estimated hidden Markov chain. Applications to financial risk management are discussed through simulated data.|
|Keywords: ||volatility; regime switching; GARCH; Viterbi algorithm; reference probability; filter; maximum likelihood estimation; value at risk|
|Rights: ||©2012 Taylor & Francis|
|Appears in Collections:||Mathematical Sciences publications|
|View citing articles in: ||Google Scholar|
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