Transient fads and the crash of ‘87
用马尔可夫转换异方差模型分析1987年股市崩盘是否为短暂的非理性悲观情绪，发现该模型能捕捉波动率动态且崩盘后波动率快速回归正常。
Using a fad model with Markov-switching heteroscedasticity in both the fundamental and fad components (UC-MS model), this paper examines the possibility that the 1987 stock market crash was an example of a short-lived fad. While we usually think of fads as speculative bubbles, what the UC-MS model seems to be picking up is unwarranted pessimism which the market exhibited with the OPEC oil shock and the '87 crash. Furthermore, the conditional variance implied by the UC-MS model captures most of the dynamics in the GARCH specification of stock return volatility. Yet unlike the GARCH measure of volatility, the UC-MS measure of volatility is consistent with volatility reverting to its normal level very quickly after the crash.