Markov Switching Heteroscadasticity Model of Stock Return: A Test

Amaresh Das

Markov Switching Heteroscadasticity Model of Stock Return: A Test

Amaresh Das * §

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Markov Switching Heteroscadasticity Model of Stock Return: A Test

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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.

References

14 Cites in Article

Reference Format

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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. 2016. "Markov Switching Heteroscadasticity Model of Stock Return: A Test". Global Journal of Science Frontier Research - I: Interdisciplinary GJSFR-I Volume 16 (GJSFR Volume 16 Issue 28 (I2)).

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GJSFR Volume 16 Issue 28 (I2)

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Journal Specifications

Crossref Journal DOI 10.17406/GJSFR

Print ISSN 0975-5896

e-ISSN 2249-4626

Keywords

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Classification

GJSFR-I Classification FOR Code: 140399

Submission ReceivedAugust 1, 2016
Peer Review Double Blind
Handling Editor
Accepted August 24, 2016
Published September 15, 2016

Version of record

v1.2

Issue date

September 15, 2016

Language

English

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Article Matrices

Total Score: 131

Country: United States

Subject: Global Journal of Science Frontier Research - I: Interdisciplinary

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

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Publish Date: 2016 09, Fri

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