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논문 기본 정보
- 자료유형
- 학술저널
- 저자정보
- 발행연도
- 2011.12
- 수록면
- 457 - 484 (28page)
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This paper specifies two-state Markov-switching volatility models and investigates the volatility behavior of the ultra-high-frequently observed returns on Japanese government bond futures transaction. In addition, we test the duration and volume effects on transition probabilities with a time-varying probability model. Our main findings are as follows: First, MS-GARCH models are very effective to reduce the autocorrelation of volatility, since the Ljung-Box statistics for squared standardized residuals of the models are dramatically reduced and present significantly smaller values in contrast to the single-regime GARCH model. Second, the volatilities of MS-GARCH models respond to new information more sensitively than those of the single-regime model. Third, the duration decreases volatility mainly by reducing the transition probability from highvariance regime to high-variance regime in the time-varying transition probability model, while the trading volume decreases both transition probabilities so that the transactions lead to a shift from one regime to another.
목차
1. INTRODUCTION
2. MODEL AND METHOD
3. THE DATA AND ADJUSTMENT
4. ESTIMATION RESULTS
5. CONCLUSIONS
REFERENCES
참고문헌 (31)
참고문헌 신청
Admati, A. R. / 1988 / A Theory of Intraday Patterns: Volume and Price Variability / Review of Financial Studies 1:3~40
Bansal, N. / 2010 / Regime-switching in Stock Index and Treasury Futures Returns and Measures of Stock Market Stress / Journal of Futures Markets 30:753~779
Cai, J. / 1994 / A Markov Model of Switching-regime ARCH / Journal of Business and Economic Statistics 12:309~316
Ding, Z. / 1996 / Modeling Volatility Persistence of Seculative Returns: A New Approach / Journal of Econometrics 73:185~215
Dueker, M. J. / 1997 / Markov Switching in GARCH Processes and Mean-reverting Stock-market Volatility / Journal of Business and Economic Statistics 15:26~34
Bansal, N. / 2010 / Regime-switching in Stock Index and Treasury Futures Returns and Measures of Stock Market Stress / Journal of Futures Markets 30:753~779
Cai, J. / 1994 / A Markov Model of Switching-regime ARCH / Journal of Business and Economic Statistics 12:309~316
Ding, Z. / 1996 / Modeling Volatility Persistence of Seculative Returns: A New Approach / Journal of Econometrics 73:185~215
Dueker, M. J. / 1997 / Markov Switching in GARCH Processes and Mean-reverting Stock-market Volatility / Journal of Business and Economic Statistics 15:26~34
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UCI(KEPA) : I410-ECN-0101-2013-320-001239210