The Stock Market Volatility and Regime Changes: A Test in Econometrics

The Stock Market Volatility and Regime Changes: A Test in Econometrics

Amaresh Das

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University of New Orleans

The Stock Market Volatility and Regime Changes: A Test in Econometrics

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Abstract

This paper applies the Markov switching hetero scedasticity 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. Although parameters estimating the impact of time-varying expected returns and the delivery system are in some cases qualitatively different between the regimes, the differences do not produce significant changes in our model of stock returns.

References

13 Cites in Article

Reference Format

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V Unknown Title.

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Funding

No external funding was declared for this work.

Conflict of Interest

The authors declare no conflict of interest.

Ethical Approval

No ethics committee approval was required for this article type.

Data Availability

Not applicable for this article.

How to Cite This Article

Amaresh Das. 2017. \u201cThe Stock Market Volatility and Regime Changes: A Test in Econometrics\u201d. Global Journal of Management and Business Research - C: Finance GJMBR-C Volume 17 (GJMBR Volume 17 Issue C3).

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GJMBR Volume 17 Issue C3

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Journal Specifications

Crossref Journal DOI 10.17406/GJMBR

Print ISSN 0975-5853

e-ISSN 2249-4588

Keywords

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Classification

GJMBR-C Classification JEL Code: H54

Submission ReceivedDecember 14, 2016
Peer Review Double Blind
Handling Editor
Accepted January 1, 2017
Published January 15, 2017

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v1.2

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July 15, 2017

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Article Matrices

Total Score: 131

Country: United States

Subject: Global Journal of Management and Business Research - C: Finance

Authors: Amaresh Das (PhD/Dr. count: 0)

View Count (all-time): 179

Total Views (Real + Logic): 3368

Total Downloads (simulated): 1727

Publish Date: 2017 07, Sat

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Total Views: 3368

Total Downloads: 1727

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