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.
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.
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Amaresh Das. 2016. “. Global Journal of Science Frontier Research – I: Interdisciplinary GJSFR-I Volume 16 (GJSFR Volume 16 Issue I2): .
Crossref Journal DOI 10.17406/GJSFR
Print ISSN 0975-5896
e-ISSN 2249-4626
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