ESTIMATING AND FORECASTING THE VOLATILITY OF TEHRAN STOCK MARKET, USING MARKOV REGIME SWITCHING GARCH MODELS

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NAZIFI NAEENI MINOO; FATAHI SHAHRAM; SAMADI SAEID

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Journal: JOURNAL OF ECONOMIC MODELING RESEARCH Year:2012 | Volume:3 | Issue:9 Page(s): 117-141

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Title

ESTIMATING AND FORECASTING THE VOLATILITY OF TEHRAN STOCK MARKET, USING MARKOV REGIME SWITCHING GARCH MODELS

Author(s)

NAZIFI NAEENI MINOO | FATAHI SHAHRAM | SAMADI SAEID | Issue Writer Certificate

Keywords

VOLATILITYQ2

MARKOV REGIME SWITCHING GARCH MODELSQ2

STATISTICAL LOSS FUNCTIONQ2

BOOTSTRAPQ2

Abstract

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.

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APA: Copy

NAZIFI NAEENI, MINOO, FATAHI, SHAHRAM, & SAMADI, SAEID. (2012). ESTIMATING AND FORECASTING THE VOLATILITY OF TEHRAN STOCK MARKET, USING MARKOV REGIME SWITCHING GARCH MODELS. JOURNAL OF ECONOMIC MODELING RESEARCH, 3(9), 117-141. SID. https://sid.ir/paper/208854/en

Vancouver: Copy

NAZIFI NAEENI MINOO, FATAHI SHAHRAM, SAMADI SAEID. ESTIMATING AND FORECASTING THE VOLATILITY OF TEHRAN STOCK MARKET, USING MARKOV REGIME SWITCHING GARCH MODELS. JOURNAL OF ECONOMIC MODELING RESEARCH[Internet]. 2012;3(9):117-141. Available from: https://sid.ir/paper/208854/en

IEEE: Copy

MINOO NAZIFI NAEENI, SHAHRAM FATAHI, and SAEID SAMADI, “ESTIMATING AND FORECASTING THE VOLATILITY OF TEHRAN STOCK MARKET, USING MARKOV REGIME SWITCHING GARCH MODELS,” JOURNAL OF ECONOMIC MODELING RESEARCH, vol. 3, no. 9, pp. 117–141, 2012, [Online]. Available: https://sid.ir/paper/208854/en

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