How to Forecast Long-Run Volatility: Regime Switching and the Estimation of Multifractal Processes

By Calvet Laurent E. and Fisher Adlai J.
Journal of Financial Econometrics (2004)

  • Laurent E. Calvet

    HEC Paris

    France

  • Adlai J. Fisher

    University of British Columbia

    Canada

Created

September 27, 2013

Last update

June 20, 2016

Software

Matlab

Ranking

7

Visits

7983

Downloads

1297

Description

This code implements the Maximum-Likelihood (ML) estimation of a Markov-Switching Multifractal process. It focuses on the simple case where M is a binomial random variable taking values m0 or 2-m0 with equal probability. The full parameter vector is then (b, m0, γk, σ), where m0 characterizes the distribution of the multipliers, σ is the unconditional standard deviation of returns, and b and γk define the set of switching probabilities. User can provide starting values of ML optimization (optional) and choose the number of volatility frequencies (between 1 and 10), denoted kbar. Results display the four estimated parameters, the Log-Likelihood and some diagnostic information about the optimization procedure.

Exit expectations and debt crises in currency unions

Working Paper (2019)

Müller Gernot, Kriwoluzky Alexander, and Wolf Martin

2019-04-12

Zip Archive

172

229

16

Too Much of a Good Thing?

International Journal of Research in Marketing (2019)

Gaustad Tarje, M. Bendik, Warlop Luk, and Fitzsimons Gavan J.

Evaluating marketplace synergies of ingredient brand alliances

International Journal of Research in Marketing (2018)

Bowman Douglas

Smart Systemic-Risk Scores

Working Paper (2018)

Benoit Sylvain

Shaping Consumer Preference Using Alignable Attributes: The Roles of Regulatory Orientation and Construal Level

International Journal of Research in Marketing (2018)

Sun Jin, Keh Hean Tat, and Lee Angela Y.

Backtesting Expected Shortfall via Multi-Quantile Regression

Working Paper (2018)

Couperier Ophélie and Leymarie Jérémy

Wealth Distribution with Random Discount Factors

Journal of Monetary Economics (2018)

Toda Alexis Akira

2018-09-07

Matlab

950

160

114

Targeting Online Display Ads: Choosing Their Frequency and Spacing

International Journal of Research in Marketing (2018)

Försch Steffen and de Haan Evert

Financial distress, refinancing, and debt structure

Journal of Banking and Finance (2018)

Yin Qie and Dudley Evan

0 comment

Add comment

You need to log in to post a comment.