On the Markov Switching GARCH: a Brief Introductory

Hadiyat, Mochammad Arbi and Iriawan, Nur and Mulyono, Slamet (2007) On the Markov Switching GARCH: a Brief Introductory. Proceeding of The 2nd Joint Conference Indonesia Malaysia on Mathematics and Statistics . ISSN 1978-614X

Preview	PDF Hadiyat_Iriawan_Mulyono_On the Markov_Abstract_2007.pdf Download (55kB) | Preview
	PDF Hadiyat_Iriawan_Mulyono_On the Markov_2007.pdf Restricted to Registered users only Download (116kB) | Request a copy

Abstract

This paper describes briefly about GARCH with regime switching (SW-GARCH) following Markov Chain property. This approach accounts for jumps between volatility regimes which useful to detect some change of policies during the time horizon are running. To show the work of the employing this approach, an implementation through Unilever stock data has been tried. The results show that the data follow the change between two regimes with probability accordingly.

Item Type:	Article
Uncontrolled Keywords:	GARCH, SWGARCH, Markov Switching Regime, Return
Subjects:	Q Science > QA Mathematics
Divisions:	Faculty of Engineering > Department of Industrial Engineering
Depositing User:	M. Arbi Hadiyat 61135
Date Deposited:	30 Aug 2013 01:55
Last Modified:	19 Mar 2021 08:09
URI:	http://repository.ubaya.ac.id/id/eprint/4450

Actions (login required)

View Item