Application of Markov Regime Switching Autoregressive Model to Gold Prices in Pakistan

Asymptotic properties of autoregressive regime-switching models

The statistical properties of the likelihood ratio test statistic (LRTS) for autoregressive regime-switching models are addressed in this paper. This question is particularly important for estimating the number of regimes in the model. Our purpose is to extend the existing results for mixtures (Liu and Shao, 2003) and hidden Markov chains (Gassiat, 2002). First, we study the case of mixtures of...

Conditional Markov regime switching model applied to economic modelling

In this paper we discuss the calibration issues of regime switching models built on mean-reverting and local volatility processes combined with two Markov regime switching processes. In fact, the volatility structure of this model depends on a first exogenous Markov chain whereas the drift structure depends on a conditional Markov chain with respect to the first one. The structure is also assum...

Power Prices – A Regime - Switching Spot / Forward Price Model

A General Autoregressive Model with Markov Switching: Estimation and Consistency

In this paper, a general autoregressive model with Markov switching is considered, where the autoregression may be of an infinite order. The consistency of the maximum likelihood estimators for this model is obtained under regular assumptions. Examples of finite and infinite order Markov switching AR models are discussed. The simulation study with these examples illustrates the consistency and ...

Markov Regime Switching Stochastic Volatility

This is a project on modeling time-varying volatility of S&P 500 weely return for the years 1990 to 2012 using Bayesian methods. First, MCMC on the log-stochastic volatility (SV) model is implemented with simulation results analyzed. Second, I generalize the SV model to encompass regime-switching properties with the markov switching log-stochastic volatility (MSSV) model, under which, high-vola...