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

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Amaresh Das
Amaresh Das
1 University of New Orleans

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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.

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.

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Not applicable for 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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Crossref Journal DOI 10.17406/GJMBR

Print ISSN 0975-5853

e-ISSN 2249-4588

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GJMBR-C Classification: JEL Code: H54
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v1.2

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July 15, 2017

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English

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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.

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

Amaresh Das
Amaresh Das University of New Orleans

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