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About: Markov switching multifractal     Goto   Sponge   NotDistinct   Permalink

An Entity of Type : yago:Whole100003553, within Data Space : dbpedia.demo.openlinksw.com associated with source document(s)

Type: personyago:WikicatMarkovModelsyago:Assistant109815790yago:CausalAgent100007347yago:LivingThing100004258yago:Model110324560yago:Object100002684yago:Organism100004475yago:Person100007846yago:PhysicalEntity100001930yago:Worker109632518yago:YagoLegalActoryago:YagoLegalActorGeoyago:Whole100003553 New Facet based on Instances of this Class

In financial econometrics (the application of statistical methods to economic data), the Markov-switching multifractal (MSM) is a model of asset returns developed by Laurent E. Calvet and Adlai J. Fisher that incorporates stochastic volatility components of heterogeneous durations. MSM captures the outliers, log-memory-like volatility persistence and power variation of financial returns. In currency and equity series, MSM compares favorably with standard volatility models such as GARCH(1,1) and FIGARCH both in- and out-of-sample. MSM is used by practitioners in the financial industry to forecast volatility, compute value-at-risk, and price derivatives.