On the Markov Switching GARCH: a Brief Introductory

Hadiyat, M. 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

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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: 30 Aug 2013 01:55
URI: http://repository.ubaya.ac.id/id/eprint/4450

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