Markov Switching in GARCH Processes and Mean-Reverting Stock-Market Volatility
نویسندگان
چکیده
منابع مشابه
Has Tehran Stock Market Calmed Down after Global Financial Crisis?Markov Switching GARCH Approach
We have introduced an early warning system for volatility regimes regarding Tehran Stock Exchange using Markov Switching GARCH approach. We have examined whether Tehran Stock Market has calmed down or more specifically, whether the surge in volatility during 2007-2010 global financial crises still affects stock return volatility in Iran. Doing so, we have used a regime switching GARCH model. ...
متن کاملAnalysis of Stock Market Volatility by Continuous-time GARCH Models
The discrete time ARCH/GARCH model of Engle and Bollarslev has been enormously influential and successful in the modelling of financial data. Recently, Klüppelberg, Lindner, andMaller (2004) introduced the so-called “COGARCH”model as a continuoustime analogue to the GARCH model. Many aspects of the COGARCH have been investigated, including various of its theoretical properties, its relations to...
متن کاملForecasting Stock Market Volatility Using (Non-Linear) Garch Models
In this papeT we study the performance of the GARCH model and two of its non-linear modifications to forecast weekly stock market volatility. The models are the Quadratic GARCH (Engle and Ng. 1993) and the Glosten. Jagannathan and Runkle (1992) models which have been proposed to describe, for example, the often observed negative skewness in stock market indices. We find that the QGARCH model is...
متن کاملStock market volatility and equity returns: Evidence from a two-state Markov-switching model with regressors
Article history: Received 23 August 2011 Received in revised form 16 April 2012 Accepted 19 April 2012 Available online 5 May 2012 This paper proposes a two-state Markov-switching model for stock market returns in which the state-dependent expected returns, their variance and associated regime-switching dynamics are allowed to respond to market information. More specifically, we apply this mode...
متن کاملExchange rate volatility and its effect on stock market volatility
This paper investigates empirically the effect of volatility of the exchange rate of the U.S. dollar vis-à-vis the euro on U.S. stock market volatility while controlling for a number of drivers of stock return volatility. Using a GARCH(1, 1) model and using weekly data covering the period from the week of January 1, 1999 through the week of January 25, 2010, it is found that the 9/11 terrorist ...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Business & Economic Statistics
سال: 1997
ISSN: 0735-0015
DOI: 10.2307/1392070