Markov Switching Heteroscadasticity Model of Stock Return: A Test

Amaresh Das
Amaresh Das
Contact
University of New Orleans University of New Orleans

Send Message

To: Author

Markov Switching Heteroscadasticity Model of Stock Return: A Test

Article Fingerprint

ReserarchID

87296

Markov Switching Heteroscadasticity Model of Stock Return: A Test Banner

AI TAKEAWAY

Connecting with the Eternal Ground
Access Review Comments
  • English
  • Afrikaans
  • Albanian
  • Amharic
  • Arabic
  • Armenian
  • Azerbaijani
  • Basque
  • Belarusian
  • Bengali
  • Bosnian
  • Bulgarian
  • Catalan
  • Cebuano
  • Chichewa
  • Chinese (Simplified)
  • Chinese (Traditional)
  • Corsican
  • Croatian
  • Czech
  • Danish
  • Dutch
  • Esperanto
  • Estonian
  • Filipino
  • Finnish
  • French
  • Frisian
  • Galician
  • Georgian
  • German
  • Greek
  • Gujarati
  • Haitian Creole
  • Hausa
  • Hawaiian
  • Hebrew
  • Hindi
  • Hmong
  • Hungarian
  • Icelandic
  • Igbo
  • Indonesian
  • Irish
  • Italian
  • Japanese
  • Javanese
  • Kannada
  • Kazakh
  • Khmer
  • Korean
  • Kurdish (Kurmanji)
  • Kyrgyz
  • Lao
  • Latin
  • Latvian
  • Lithuanian
  • Luxembourgish
  • Macedonian
  • Malagasy
  • Malay
  • Malayalam
  • Maltese
  • Maori
  • Marathi
  • Mongolian
  • Myanmar (Burmese)
  • Nepali
  • Norwegian
  • Pashto
  • Persian
  • Polish
  • Portuguese
  • Punjabi
  • Romanian
  • Russian
  • Samoan
  • Scots Gaelic
  • Serbian
  • Sesotho
  • Shona
  • Sindhi
  • Sinhala
  • Slovak
  • Slovenian
  • Somali
  • Spanish
  • Sundanese
  • Swahili
  • Swedish
  • Tajik
  • Tamil
  • Telugu
  • Thai
  • Turkish
  • Ukrainian
  • Urdu
  • Uzbek
  • Vietnamese
  • Welsh
  • Xhosa
  • Yiddish
  • Yoruba
  • Zulu
Font Type
Font Size
Font Size
Bedground

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
  1. Andrew Ang,Geert Bekaert (2007). Stock Return Predictability: Is it There?.
  2. D Backus,A Gregory (1993). Theoretical Relations between Risk Premium and Conditional Variancres.
  3. A Goyal,I Welch (2008). A Cmprehensive Look at the Empirical Performance of Equity Premium Prediction.
  4. J D Hamilton,H Susmel (1994). Autoregressive Conditional Heteroscedasticity and Changes in Regime.
  5. A Harvey (1990). The Econometric Analysis of Time Series.
  6. C Kim,C Nelson (1998). Testing for Mean Reversion in Heteriscedasticity Data II Auto Correlation Tests Based on Gibbs-sampling Augmented Randomization.
  7. C Kim,C Neslson (1999). State-Space Models with Markov Switching and Gibbs-Sampling.
  8. J Porterba,L Summers (1998). Mean Reversion in Stock Prices Evidence and Implications.
  9. A Rossi,A Timmermann (2011). What is the Shape of the Risk-Return Relation? Working paper.
  10. L Spierdijk,J Bikker,P Van Den Hoek (2012). Mean Reversion in InternationalStock Markets: An Empirical Analysis of the 20th Century.
  11. Lawrence Summers (1986). Does the Stock Market Rationally Reflect Fundamental Values?.
  12. Lubos Pastor,Robert Stambaugh (2001). The Equity Premium and Structural Breaks.
  13. G Perez-Quiros,A Timmermann (2001). Business Cycle Asymmetries in Stock Returns: Evidence from Higher Order Moments and Conditional Densities.
  14. R Whiteli (2000). Stock Market Risk and Return: An Equilibrium Approach.
Show All References
Download References

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. \u201cMarkov Switching Heteroscadasticity Model of Stock Return: A Test\u201d. Global Journal of Science Frontier Research - I: Interdisciplinary GJSFR-I Volume 16 (GJSFR Volume 16 Issue I2).

More Citation Formats

Download Citation

  • Open Access
  • CC-BY-ND-NC 4.0
Download Article
Journal Specifications

Crossref Journal DOI 10.17406/GJSFR

Print ISSN 0975-5896

e-ISSN 2249-4626

Keywords
Not Found
Classification
GJSFR-I Classification FOR Code: 140399
  • Submission ReceivedAugust 1, 2016
  • Peer Review Double Blind
    Handling Editor
  • Accepted August 24, 2016
  • Published September 8, 2016
Version of record

v1.2

Issue date
November 6, 2016

Language
en
Order Article Reprints
Experiance in AR

Explore published articles in an immersive Augmented Reality environment. Our platform converts research papers into interactive 3D books, allowing readers to view and interact with content using AR and VR compatible devices.

View in VR
Read in 3D

Your published article is automatically converted into a realistic 3D book. Flip through pages and read research papers in a more engaging and interactive format.

View in 3D
Article Matrices
Total Views: 3830
Total Downloads: 1849
2026 Trends
Related Research
Our website is actively being updated, and changes may occur frequently. Please clear your browser cache if needed. For feedback or error reporting, please email [email protected]

Request Access

Please fill out the form below to request access to this research paper. Your request will be reviewed by the editorial or author team.
X

Quote and Order Details

Contact Person

Invoice Address

Notes or Comments

This is the heading

Lorem ipsum dolor sit amet, consectetur adipiscing elit. Ut elit tellus, luctus nec ullamcorper mattis, pulvinar dapibus leo.

High-quality academic research articles on global topics and journals.

Markov Switching Heteroscadasticity Model of Stock Return: A Test

Amaresh Das
Amaresh Das <p>University of New Orleans</p>
  • Submission ReceivedAugust 1, 2016
  • Peer Review Double Blind
    Handling Editor
  • Accepted August 24, 2016
  • Published September 8, 2016

Research Journals

Global Journal of Computer Science and Technology
Global Journal of Computer Science and Technology
Explore Journal
Global Journal of Computer Science and Technology - A: Hardware & Computation
Global Journal of Computer Science and Technology - A: Hardware & Computation
Explore Journal
Global Journal of Computer Science and Technology - B: Cloud & Distributed
Global Journal of Computer Science and Technology - B: Cloud & Distributed
Explore Journal
Global Journal of Computer Science and Technology - C: Software & Data Engineering
Global Journal of Computer Science and Technology - C: Software & Data Engineering
Explore Journal
Global Journal of Computer Science and Technology - D: Neural & AI
Global Journal of Computer Science and Technology - D: Neural & AI
Explore Journal
Global Journal of Computer Science and Technology - E: Network, Web & Security
Global Journal of Computer Science and Technology - E: Network, Web & Security
Explore Journal
Global Journal of Computer Science and Technology - F: Graphics & Vision
Global Journal of Computer Science and Technology - F: Graphics & Vision
Explore Journal
Global Journal of Computer Science and Technology - G: Interdisciplinary
Global Journal of Computer Science and Technology - G: Interdisciplinary
Explore Journal
Global Journal of Computer Science and Technology - H: Information & Technology
Global Journal of Computer Science and Technology - H: Information & Technology
Explore Journal
Global Journal of Human-Social Science
Global Journal of Human-Social Science
Explore Journal
Global Journal of Human-Social Science - A: Arts & Humanities
Global Journal of Human-Social Science - A: Arts & Humanities
Explore Journal
Global Journal of Human-Social Science - B: Geography, Environmental Science & Disaster Management
Global Journal of Human-Social Science - B: Geography, Environmental Science & Disaster Management
Explore Journal
Global Journal of Human-Social Science - C: Sociology & Culture
Global Journal of Human-Social Science - C: Sociology & Culture
Explore Journal
Global Journal of Human-Social Science - D: History, Archaeology & Anthropology
Global Journal of Human-Social Science - D: History, Archaeology & Anthropology
Explore Journal
Global Journal of Human-Social Science - E: Economics
Global Journal of Human-Social Science - E: Economics
Explore Journal
Global Journal of Human-Social Science - F: Political Science
Global Journal of Human-Social Science - F: Political Science
Explore Journal
Global Journal of Human-Social Science - G: Linguistics & Education
Global Journal of Human-Social Science - G: Linguistics & Education
Explore Journal
Global Journal of Human-Social Science - H: Interdisciplinary
Global Journal of Human-Social Science - H: Interdisciplinary
Explore Journal
Global Journal of Management and Business Research
Global Journal of Management and Business Research
Explore Journal
Global Journal of Management and Business Research - A: Administration & Management
Global Journal of Management and Business Research - A: Administration & Management
Explore Journal
Global Journal of Management and Business Research - B: Economic & Commerce
Global Journal of Management and Business Research - B: Economic & Commerce
Explore Journal
Global Journal of Management and Business Research - C: Finance
Global Journal of Management and Business Research - C: Finance
Explore Journal
Global Journal of Management and Business Research - D: Accounting & Auditing
Global Journal of Management and Business Research - D: Accounting & Auditing
Explore Journal
Global Journal of Management and Business Research - E: Marketing
Global Journal of Management and Business Research - E: Marketing
Explore Journal
Global Journal of Management and Business Research - F: Real estate, Event, Tourism Management & Transporting
Global Journal of Management and Business Research - F: Real estate, Event, Tourism Management & Transporting
Explore Journal
Global Journal of Management and Business Research - G: Interdisciplinary
Global Journal of Management and Business Research - G: Interdisciplinary
Explore Journal
Global Journal of Medical Research
Global Journal of Medical Research
Explore Journal
Global Journal of Medical Research - A: Neurology & Nervous System
Global Journal of Medical Research - A: Neurology & Nervous System
Explore Journal
Global Journal of Medical Research - B: Pharma, Drug Discovery, Toxicology & Medicine
Global Journal of Medical Research - B: Pharma, Drug Discovery, Toxicology & Medicine
Explore Journal
Global Journal of Medical Research - C: Microbiology & Pathology
Global Journal of Medical Research - C: Microbiology & Pathology
Explore Journal
Global Journal of Medical Research - D: Radiology, Diagnostic
Global Journal of Medical Research - D: Radiology, Diagnostic
Explore Journal
Global Journal of Medical Research - E: Gynecology & Obstetrics
Global Journal of Medical Research - E: Gynecology & Obstetrics
Explore Journal
Global Journal of Medical Research - F: Diseases
Global Journal of Medical Research - F: Diseases
Explore Journal
Global Journal of Medical Research - G: Veterinary Science & Medicine
Global Journal of Medical Research - G: Veterinary Science & Medicine
Explore Journal
Global Journal of Medical Research - H: Orthopedic & Musculoskeletal System
Global Journal of Medical Research - H: Orthopedic & Musculoskeletal System
Explore Journal
Global Journal of Medical Research - I: Surgeries & Cardiovascular System
Global Journal of Medical Research - I: Surgeries & Cardiovascular System
Explore Journal
Global Journal of Medical Research - J: Dentistry & Otolaryngology
Global Journal of Medical Research - J: Dentistry & Otolaryngology
Explore Journal
Global Journal of Medical Research - K: Interdisciplinary
Global Journal of Medical Research - K: Interdisciplinary
Explore Journal
Global Journal of Medical Research - L: Nutrition
Global Journal of Medical Research - L: Nutrition
Explore Journal
Global Journal of Research in Engineering
Global Journal of Research in Engineering
Explore Journal
Global Journal of Research in Engineering - A : Mechanical & Mechanics
Global Journal of Research in Engineering - A : Mechanical & Mechanics
Explore Journal
Global Journal of Research in Engineering - B: Automotive Engineering
Global Journal of Research in Engineering - B: Automotive Engineering
Explore Journal
Global Journal of Research in Engineering - C: Chemical Engineering
Global Journal of Research in Engineering - C: Chemical Engineering
Explore Journal
Global Journal of Research in Engineering - D: Aerospace Science
Global Journal of Research in Engineering - D: Aerospace Science
Explore Journal
Global Journal of Research in Engineering - E: Civil & Structural
Global Journal of Research in Engineering - E: Civil & Structural
Explore Journal
Global Journal of Research in Engineering - F: Electrical & Electronic
Global Journal of Research in Engineering - F: Electrical & Electronic
Explore Journal
Global Journal of Research in Engineering - G: Industrial Engineering
Global Journal of Research in Engineering - G: Industrial Engineering
Explore Journal
Global Journal of Research in Engineering - H: Robotics & Nano-Tec
Global Journal of Research in Engineering - H: Robotics & Nano-Tec
Explore Journal
Global Journal of Research in Engineering - I: Numerical Methods
Global Journal of Research in Engineering - I: Numerical Methods
Explore Journal
Global Journal of Research in Engineering - J: General Engineering
Global Journal of Research in Engineering - J: General Engineering
Explore Journal
Global Journal of Science Frontier Research
Global Journal of Science Frontier Research
Explore Journal
Global Journal of Science Frontier Research - A: Physics & Space Science
Global Journal of Science Frontier Research - A: Physics & Space Science
Explore Journal
Global Journal of Science Frontier Research - B: Chemistry
Global Journal of Science Frontier Research - B: Chemistry
Explore Journal
Global Journal of Science Frontier Research - C: Biological Science
Global Journal of Science Frontier Research - C: Biological Science
Explore Journal
Global Journal of Science Frontier Research - D: Agriculture & Veterinary
Global Journal of Science Frontier Research - D: Agriculture & Veterinary
Explore Journal
Global Journal of Science Frontier Research - E: Marine Science
Global Journal of Science Frontier Research - E: Marine Science
Explore Journal
Global Journal of Science Frontier Research - F: Mathematics & Decision
Global Journal of Science Frontier Research - F: Mathematics & Decision
Explore Journal
Global Journal of Science Frontier Research - G: Bio-Tech & Genetics
Global Journal of Science Frontier Research - G: Bio-Tech & Genetics
Explore Journal
Global Journal of Science Frontier Research - H: Environment & Environmental geology
Global Journal of Science Frontier Research - H: Environment & Environmental geology
Explore Journal
Global Journal of Science Frontier Research - I: Interdisciplinary
Global Journal of Science Frontier Research - I: Interdisciplinary
Explore Journal