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- W2950898979 abstract "Regime switching volatility models provide a tractable method of modelling stochastic volatility. Currently the most popular method of regime switching calibration is the Hamilton filter. We propose using the Baum-Welch algorithm, an established technique from Engineering, to calibrate regime switching models instead. We demonstrate the Baum-Welch algorithm and discuss the significant advantages that it provides compared to the Hamilton filter. We provide computational results of calibrating the Baum-Welch filter to S&P 500 data and validate its performance in and out of sample." @default.
- W2950898979 created "2019-06-27" @default.
- W2950898979 creator A5079283230 @default.
- W2950898979 date "2009-04-09" @default.
- W2950898979 modified "2023-09-28" @default.
- W2950898979 title "Regime Switching Volatility Calibration by the Baum-Welch Method" @default.
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