Next Article in Journal
The SAR Model for Very Large Datasets: A Reduced Rank Approach
Previous Article in Journal
Nonparametric Regression Estimation for Multivariate Null Recurrent Processes
Open AccessArticle

Selection Criteria in Regime Switching Conditional Volatility Models

Aix-Marseille University (Aix Marseille School of Economics), CNRS & EHESS, Marseille, 13002, France
Academic Editor: Kerry Patterson
Econometrics 2015, 3(2), 289-316;
Received: 13 January 2015 / Revised: 26 March 2015 / Accepted: 28 April 2015 / Published: 11 May 2015
PDF [1044 KB, uploaded 18 May 2015]


A large number of nonlinear conditional heteroskedastic models have been proposed in the literature. Model selection is crucial to any statistical data analysis. In this article, we investigate whether the most commonly used selection criteria lead to choice of the right specification in a regime switching framework. We focus on two types of models: the Logistic Smooth Transition GARCH and the Markov-Switching GARCH models. Simulation experiments reveal that information criteria and loss functions can lead to misspecification ; BIC sometimes indicates the wrong regime switching framework. Depending on the Data Generating Process used in the experiments, great care is needed when choosing a criterion. View Full-Text
Keywords: conditional volatility; model selection; GARCH; regime switching conditional volatility; model selection; GARCH; regime switching

Figure 1

This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited (CC BY 4.0).

Share & Cite This Article

MDPI and ACS Style

Chuffart, T. Selection Criteria in Regime Switching Conditional Volatility Models. Econometrics 2015, 3, 289-316.

Show more citation formats Show less citations formats

Related Articles

Article Metrics

Article Access Statistics



[Return to top]
Econometrics EISSN 2225-1146 Published by MDPI AG, Basel, Switzerland RSS E-Mail Table of Contents Alert
Back to Top