[Home ] [Archive]   [ فارسی ]  
:: Main :: About :: Archive :: Search :: Submit :: Contact ::
Main Menu
Home::
Journal Information::
Articles archive::
For Authors::
For Reviewers::
Registration::
Contact us::
Site Facilities::
Webmail::
::
Search in website

Advanced Search
..
Receive site information
Enter your Email in the following box to receive the site news and information.
..
:: Volume 3, Issue 9 (12-2012) ::
2012, 3(9): 117-141 Back to browse issues page
Estimating and forecasting the volatility of Tehran stock market, using Markov regime switching GARCH models
Minoo Nazifi naeini , Shahram Fatahi , Saeed Samadi
Abstract:   (13532 Views)

  In this study we compare a set of Markov Regime-Switching GARCH models in terms of their ability to forecast the Tehran stock market volatility at different time intervals. SW-GARCH models have been used to avoid the excessive persistence that usually found in GARCH models. In SW-GARCH models all parameters are allowed to switch between a low or high volatility regimes. Both Gaussian and fat-tailed conditional distributions are assumed for the residuals, and the degrees of freedom can also be state-dependent to capture possible time-varying kurtosis. Using stationary bootstrap and re-sampling, the forecasting performances of the competing models are evaluated by statistical loss functions. The empirical analysis demonstrates that SW-GARCH models outperform all standard GARCH models in forecasting volatility. Also, the SW-GARCH model with the t distribution for errors has the best performance in fitting a model and estimation.

Keywords: Volatility, Markov Regime Switching GARCH Models, Statistical Loss Function, Bootstrap.
     
Type of Study: بنیادی | Subject: پولی و مالی
Received: 2011/11/25 | Accepted: 2013/02/24 | Published: 2013/02/24
Send email to the article author

Add your comments about this article
Your username or Email:

CAPTCHA


XML   Persian Abstract   Print


Download citation:
BibTeX | RIS | EndNote | Medlars | ProCite | Reference Manager | RefWorks
Send citation to:

nazifi naeini M, fatahi S, samadi S. Estimating and forecasting the volatility of Tehran stock market, using Markov regime switching GARCH models. Journal title 2012; 3 (9) :117-141
URL: http://jfm.khu.ac.ir/article-1-344-en.html


Rights and permissions
Creative Commons License This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.
Volume 3, Issue 9 (12-2012) Back to browse issues page
فصلنامه تحقیقات مدلسازی اقتصادی Journal of Economic Modeling Research
Persian site map - English site map - Created in 0.12 seconds with 37 queries by YEKTAWEB 4666