Application of the Markov switching GARCH model to the WIG 20 option pricing
DOI:
https://doi.org/10.12775/AUNC_ECON.2009.039Keywords
option pricing, Markov Switching models, GARCH modelsAbstract
The Markov Switching models are an interesting alternative to modelling the volatility of financial assets, as they make it possible to capture the periods of high and low activity typical for financial markets.. In the article the author tried to use the Markov Switching ARGARCH models to the WIG20.
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