Economics, Econometrics and Finance
4 years ago

New model predicts stock market volatility shifts with high accuracy.

SSRN Electronic Journal
Long Memory and Nonlinearities in Realized Volatility: A Markov Switching Approach
Silvano Bordignon, Davide Raggi

Paper Summary

The article explores how to predict stock market volatility by studying its long-term patterns and sudden changes. The researchers developed a model that can handle both these aspects by using a method that switches between different levels of volatility.

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