Markov switching multifractal

<p>In financial <a href="/facts/Econometrics/7U52gzHt">econometrics</a> (the application of <a href="/facts/Statistics/DNPsKGYU">statistical methods</a> to economic data), the Markov-switching multifractal (MSM) is a model of asset returns developed by <a href="/facts/Laurent-Emmanuel_Calvet/K8rurBCH">Laurent E. Calvet</a> and Adlai J. Fisher that incorporates <a href="/facts/Stochastic_volatility/d5zBCcUP">stochastic volatility</a> components of <a href="/facts/Homogeneity_(statistics)/gok3LHv3">heterogeneous durations</a>. MSM captures the <a href="/facts/Outliers_in_statistics/VBhIzGbx">outliers</a>, log-memory-like <a href="/facts/Volatility_(finance)/mCdus1MW">volatility</a> persistence and power variation of <a href="/facts/Financial_return/l5UdJ5bx">financial returns</a>. In currency and equity series, MSM compares favorably with standard <a href="/facts/Stochastic_volatility/d5zBCcUP">volatility models</a> such as <a href="/facts/GARCH/CyPM79ao">GARCH(1,1)</a> and FIGARCH both in- and out-of-sample. MSM is used by practitioners in the financial industry for different types of forecasts.
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Markov switching multifractal open-in-new

Markov switching multifractal