Volatility persistence and switching ARCH in Japanese stock returns

DOI10.1023/A:1009694124933zbMath1153.91757OpenAlexW75578687MaRDI QIDQ1000420

Wai Mun Fong

Publication date: 6 February 2009

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1009694124933

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; economic indices and measures (91B82)

Related Items (4)

ARCH Models and an Application on Exchange Rate Volatility: ARCH and GARCH Models ⋮ Stochastic approximation Monte Carlo Gibbs sampling for structural change inference in a Bayesian heteroscedastic time series model ⋮ Asymptotic properties of the maximum likelihood estimator in regime switching econometric models ⋮ Forecasting volatility and volume in the Tokyo stock market: Long memory, fractality and regime switching

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