Common Volatility in International Equity Markets
使用SWARCH模型分析国际股票市场时变波动性，发现美国、加拿大、英国和日本存在波动性状态切换，且除日本与英国、美国与加拿大外，各国波动状态相对独立。
We analyze the behavior of time-varying volatility, when structural changes are allowed in international stock markets.We use a model developed by Hamilton and Susmel (1994), the SWARCH model, which is a more general specification than the popular ARCH model.We fit an exponential SWARCH model to eight series of weekly returns from international stock markets.We find evidence for switching volatility for the U.S., Canada, the U.K., and Japan.Under the SWARCH model, we find that ARCH and asymmetric effects are reduced when a switching regime structure is allowed.We use the switching model to date volatility states in international stock markets.We compare these states and conclude that domestic volatility states tend to be independent of foreign volatility states, with the exception of Japan and the U.K., and the U.S. and Canada.For these two pairs of series, we find evidence for common volatility states.