文章基本信息

标题：SWARCH and the implicit volatility of the Real/USD exchange rate
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作者：Rafael Machado Santana ; Rodrigo De Losso da Silveira Bueno
期刊名称：Brazilian Review of Finance
印刷版ISSN：1984-5146
出版年度：2008
卷号：6
期号：2
页码：235-265
语种：Portuguese
出版社：Link to the Brazilian Society of Finance
摘要：This paper evaluates empirically the volatility prediction and the informational content of the exchange rate variation. The comparison is built on two different models. The ﬁrst is a markov switching model on the conditional variance – SWARCH (Hamilton, 1994). The second model is based on the Garman e Kohlhagen (1983) option pricing model, from which one extracts the implicit volatility. The results show that the SWARCH’s performance is better in both dimensions and contrast with the literature in two aspects: ﬁrst because the model with switching regime is not as usual as the ones without it, second because the best model is based on historical data rather than implicit volatility.
其他摘要：This paper evaluates empirically the volatility prediction and the informational content of the exchange rate variation. The comparison is built on two different models. The ﬁrst is a markov switching model on the conditional variance – SWARCH (Hamilton, 1994). The second model is based on the Garman e Kohlhagen (1983) option pricing model, from which one extracts the implicit volatility. The results show that the SWARCH’s performance is better in both dimensions and contrast with the literature in two aspects: ﬁrst because the model with switching regime is not as usual as the ones without it, second because the best model is based on historical data rather than implicit volatility.
关键词：SWARCH;regime switching;persistance;implicit volatility;SWARCH;mudanças de regime;persistência;volatilidade implícita
其他关键词：Economics; Business;SWARCH; regime switching; persistance; implicit volatility;G12; G13; C52