On the Markov Switching GARCH: a Brief Introductory
| Main Authors: | Hadiyat, M. Arbi , Iriawan, Nur, Mulyono, Slamet |
|---|---|
| Format: | Article PeerReviewed application/pdf |
| Terbitan: |
Statistics Department, ITS Surabaya
, 2007
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| Subjects: | |
| Online Access: |
http://repository.ubaya.ac.id/4450/2/Hadiyat_Iriawan_Mulyono_On%20the%20Markov_Abstract_2007.pdf http://repository.ubaya.ac.id/4450/3/Hadiyat_Iriawan_Mulyono_On%20the%20Markov_2007.pdf http://statistika.its.ac.id http://repository.ubaya.ac.id/4450/ |
Daftar Isi:
- 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.