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Forecasting volatility between two regime states : the case of Central and East European countries (CROSBI ID 607091)

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Visković, Josip ; Arnerić, Josip Forecasting volatility between two regime states : the case of Central and East European countries // Istanbul International conference on business and economics Istanbul, Turska; İzmir, Turska, 02.08.2013-03.08.2013

Podaci o odgovornosti

Visković, Josip ; Arnerić, Josip

engleski

Forecasting volatility between two regime states : the case of Central and East European countries

This paper compares GARCH models in terms of their ability to describe structural changes in returns caused by financial crisis at stock markets Croatia, Czech Republic, Hungary, Slovenia, Romania and Bulgaria. Fat-tailed conditional distribution of innovations is assumed. Moreover, state dependent degrees of freedom are assumed to model possible time varying kurtosis. The empirical analysis demonstrates that Markov regime switching GARCH model resolves the problem of excessive persistence and outperforms uni-regime GARCH models in forecasting volatility when sudden switching occurs in response to financial crisis. The results are compared between selected central and east European countries trying to answer the following questions: how long it takes for shocks in volatility to die out, is the unconditional variance overestimated due to crisis, is there a difference in the persistence between regimes of low and high volatility, what is the mean reverting period of volatility in a pre-crisis and crisis regime.

Markov switching GARCH model; transition probabilities; financial crisis; central and east European countries

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Podaci o prilogu

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Podaci o skupu

Istanbul International conference on business and economics

predavanje

02.08.2013-03.08.2013

Istanbul, Turska; İzmir, Turska

Povezanost rada

Ekonomija