Markov switching multifractal
id:
markov-switching-multifractal-257-543470
title:
Markov switching multifractal
text:
In financial econometrics, 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 practit
brand slug:
wiki
category slug:
encyclopedia
description:
original url:
https://en.wikipedia.org/wiki/Markov_switching_multifractal
date created:
date modified:
2022-12-09T14:10:54Z
main entity:
{"identifier":"Q6771331","url":"https://www.wikidata.org/entity/Q6771331"}
image:
fields total:
13
integrity:
13