Markov-Switching Multifractal Models within GAMLSS
26th International Workshop on Statistical Modelling (IWSM), 2011
4 Pages Posted: 13 Apr 2011
Date Written: April 8, 2011
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
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