How Persistent is Volatility? An Answer with Stochastic Volatility Models with Markov Regime Switching State Equations

We introduce SV models with Markov regime changing state equation (SVMRS) to investigate the important properties of volatility, high persistence and smoothness. With the quasi-ML approach proposed in our study, we showed that volatility is far less persistent and smooth than the GARCH or SV models suggest

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