Heavy-tailed continuous HMMs recover volatility clustering and produce regime-conditional VaR that passes joint conditional coverage tests on US equity data.
Markov-switching GARCH models in R: The MSGARCH package.Journal of Statistical Software, 91(4):1–38, 2019
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Continuous Hidden Markov Models for Equity Returns: Heavy-Tail Emission Families and Regime-Conditional Value-at-Risk
Heavy-tailed continuous HMMs recover volatility clustering and produce regime-conditional VaR that passes joint conditional coverage tests on US equity data.