Markov-Switching and Stochastic Volatility Diffusion Models of Short-Term Interest Rates
短期利率的马尔可夫切换与随机波动率扩散模型
This article empirically compares the Markov-switching and stochastic volatility diffusion models of the short rate. The evidence supports the Markov-switching diffusion model. Estimates of the elasticity of volatility parameter for single-regime models unanimously indicate an explosive volatility process, whereas the Markov-switching models estimates are reasonable. It is found that either Markov switching or stochastic volatility, but not both, is needed to adequately fit…