Markov Switching Heteroscadasticity Model of Stock Return: A Test

Amaresh Das

Volume 16 Issue 2

Global Journal of Science Frontier Researc

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.