ASYMMETRIC AND STRUCTURAL CHANGES MODELING OF FINANCIAL TIME SERIES WITH MARKOV-SWITCHING GARCH PROCESSES

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SAJJAD R.; FARAHANIRAD A.H.

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Journal Paper

Paper Information

Journal: FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT) Year:2014 | Volume:4 | Issue:17 Page(s): 87-101

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Information Journal Paper

Title

ASYMMETRIC AND STRUCTURAL CHANGES MODELING OF FINANCIAL TIME SERIES WITH MARKOV-SWITCHING GARCH PROCESSES

Author(s)

SAJJAD R. | FARAHANIRAD A.H. | Issue Writer Certificate

Keywords

VOLATILITYQ1

MARKOV-SWITCHINGQ2

MIXTURE MODELSQ2

SKEWNESSQ1

GARCHQ2

VALUE AT RISKQ2

Abstract

This paper introduces MARKOV-SWITCHING (MS) GARCH processes for capturing the SKEWNESS in the distribution of financial time series. The model class is motivated by the fact that empirical return distributions characterized by significant asymmetries, but the generic assumption of return distributions is Normal. The out of sample performance of symmetric and asymmetric MS GARCH models is compared in an application to Tehran exchange price index (Tepix). Finally, to put the Regime-switching models into perspective, we add to the list of competitors a popular model which may serve as a benchmark, i.e., the single–regime GARCH (1, 1). It turns out that asymmetric MS GARCH processes perform best overall.

Cites

ارزیابی و پیش بینی نوسانات قیمت در بازار برق ایران به کمک مدل ARMAX-GARCH

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APA: Copy

SAJJAD, R., & FARAHANIRAD, A.H.. (2014). ASYMMETRIC AND STRUCTURAL CHANGES MODELING OF FINANCIAL TIME SERIES WITH MARKOV-SWITCHING GARCH PROCESSES. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), 4(17), 87-101. SID. https://sid.ir/paper/197771/en

Vancouver: Copy

SAJJAD R., FARAHANIRAD A.H.. ASYMMETRIC AND STRUCTURAL CHANGES MODELING OF FINANCIAL TIME SERIES WITH MARKOV-SWITCHING GARCH PROCESSES. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT)[Internet]. 2014;4(17):87-101. Available from: https://sid.ir/paper/197771/en

IEEE: Copy

R. SAJJAD, and A.H. FARAHANIRAD, “ASYMMETRIC AND STRUCTURAL CHANGES MODELING OF FINANCIAL TIME SERIES WITH MARKOV-SWITCHING GARCH PROCESSES,” FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), vol. 4, no. 17, pp. 87–101, 2014, [Online]. Available: https://sid.ir/paper/197771/en

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