The Financial Econometrics Seminar: 
Time: 11:30 pm
Date: 14th of April 2022
Room 3001+ zoom

Frederik OKSLUND (Aarhus University) “In Search of Regimes in Log-Realized Volatility”

Abstract :We investigate whether regimes exist in the realized log-volatility processes of a number of stock indices by applying a handful of dynamic mixture models to this process in order to identify and separate e.g. low-volatility periods from high-volatility periods. The GAS model of Creal et al. 2013 is used to introduce dynamics in the model’s parameters while a set of different filters are used to model the (possibly dynamic) mixture weights. We seek to answer not only the question of whether regimes exist in these processes, but also of whether one filter is more appropriate than another in recovering the mixture weights, or whether they all uncover similar dynamics.
Among the filters considered is the Hamilton filter (Hamilton 1989) the DAMM (Catania 2016) and the LDAMM (Catania and Harvey, 202X). As a benchmark we employ a standard Gaussian GAS model with no mixture

Organizers:

Jean-Michel ZAKOIAN  (CREST)

Sponsors:
CREST