HI,
Can anyone share some insights about modeling volatility with explanatory variables except M_GARCH or GARCH family models ? I am particularly interested in developing a model that can better explain the volatility of international tourists flows with explanatory variables.
You might find my recent paper Pricing derivatives in a regime switching market with time inhomogeneous volatility relevant. link: http://arxiv.org/abs/1611.02026
In this model, the volatility is modeled as a particular type of pure jump process. The class of pure jump processes includes Markov chains. Although Markovian volatility is well studied, the analysis in a non-Markovian setup is not so common. In our paper, we have taken volatility as an independent semi-Markov process and analyzed the model.
http://arxiv.org/abs/1611.02026
Article Pricing Derivatives in a Regime Switching Market with Time I...
HI,
You may have look to this paper:
Idiosyncratic volatility: An indicator of noise trading?
Journal of Banking and Finance, February 2017, vol 75, Pages 136-151
Tom Aabo, Christos Pantzalis, Jung Chul Park
best regaerds
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