Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/259860 
Authors: 
Year of Publication: 
2003
Series/Report no.: 
Working Paper No. 2002:5
Publisher: 
Lund University, School of Economics and Management, Department of Economics, Lund
Abstract: 
This paper examines the forecasting properties of a Markov regime-switching model applied to Swedish interest rate volatility. A Monte Carlo testing procedure is used to arrive at a three state specification that is able to capture the high degree of leptokurtosis in the data without additional modelling of conditional heteroskedasticity. The final specification is shown to possess good forecasting properties both in general and for specific samples and horizons, something that the benchmark processes are unable to achieve.
Subjects: 
Regime switching
forecasting
volatility
JEL: 
C22
C52
E43
Document Type: 
Working Paper

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