Markov-Switching Multifractal Models within GAMLSS

26th International Workshop on Statistical Modelling (IWSM), 2011

4 Pages Posted: 13 Apr 2011

See all articles by Abdelmajid Djennad

Abdelmajid Djennad

London Metropolitan University - Department of Computing, Communications Technology & Mathematics (CCTM); Government of the United Kingdom - Statistics, Modelling, and Economics Department

Robert Rigby

London Metropolitan University

Dimitrios Stasinopoulos

London Metropolitan University

Vlasios Voudouris

ABM Analytics Ltd

Date Written: April 8, 2011

Abstract

This paper reports on concepts and methods to incorporate the Markov-Switching Multifractal model for stochastic volatility introduced by Calvet and Fisher (2004) within the GAMLSS model introduced by Rigby and Stasinopoulos (2005), allowing generalization to a non-normal distribution. The software implementation is written in R and the models are fitted and compared using maximum likelihood estimation.

Keywords: Markov-Switching Multifractal models, GAMLSS; oil returns

Suggested Citation

Djennad, Abdelmajid and Rigby, Robert and Stasinopoulos, Dimitrios and Voudouris, Vlasios, Markov-Switching Multifractal Models within GAMLSS (April 8, 2011). 26th International Workshop on Statistical Modelling (IWSM), 2011 . Available at SSRN: https://ssrn.com/abstract=1808061

Abdelmajid Djennad (Contact Author)

London Metropolitan University - Department of Computing, Communications Technology & Mathematics (CCTM) ( email )

United Kingdom

Government of the United Kingdom - Statistics, Modelling, and Economics Department ( email )

United Kingdom

Robert Rigby

London Metropolitan University ( email )

166-220 Holloway Road
London EC3N 2EY, N7 8HN
United Kingdom

Dimitrios Stasinopoulos

London Metropolitan University ( email )

166-220 Holloway Road
London EC3N 2EY, N7 8HN
United Kingdom

Vlasios Voudouris

ABM Analytics Ltd ( email )

Suite 17 125
145-157 St John Street
London, EC1V 4PW
United Kingdom

HOME PAGE: http://www.abm-analytics.com/people.php

Here is the Coronavirus
related research on SSRN

Paper statistics

Downloads
277
Abstract Views
1,003
rank
118,032
PlumX Metrics