Markov Switching Heteroscadasticity Model of Stock Return: A Test

Authors

  • Amaresh Das

Keywords:

ARCH process, GARCH process, Markov switching

Abstract

This paper applies the Markov switching heteroscedasticity model to stock return for India. The Markov switching model in our study takes into account the chance of regime shift, a possibility outside the purview of the GARCH model. Our finding tells us that the high variance of the transitory component tends to be short lived.

How to Cite

Amaresh Das. (2016). Markov Switching Heteroscadasticity Model of Stock Return: A Test. Global Journal of Science Frontier Research, 16(I2), 1–4. Retrieved from https://journalofscience.org/index.php/GJSFR/article/view/1939

Markov Switching Heteroscadasticity Model of Stock Return: A Test

Published

2016-05-15