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1 results

  • VOLATILITY ANALYSIS OF REGIME-SWITCHING MODELS

  • Yue Liu, Zhuyun Xie, Jingjing Yao, Kaodui Li
  • Journal:
    Probability in the Engineering and Informational Sciences / Volume 35 / Issue 4 / October 2021
    Published online by Cambridge University Press:
    08 May 2020, pp. 928-941

  • This paper investigates the volatility in regime-switching models formulated based on the geometric Brownian motion with its drift and volatility factors randomized with Markov chains. By developing explicit formulas about occupation time of Markov chains, we analysis the difference between global volatility of this model and the volatility caused by Brownian randomness, in order to measure the volatility caused by regime-switching after justifying its existence. Utilizing this structure of volatility, we optimize the methods of volatility parameters estimation.