Analysis of Regime Switching Behaviour of Indian Stock Markets
AbstractI consider the problem of detecting and predicting regime switching behaviour in the context of Indian Stock Market data. First I discuss detection of volatility change points using the LRT and the Binary Segmentation procedure of Vostrikova (1981). The detected volatility changes are correlated with important national and international events during that time. Then I analyse regime switching behaviour using Hidden Markov Models. I use a Bayesian route and use the Sampling Importance Resampling methodology to obtain the approximate posterior distributions
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Bibliographic InfoPaper provided by Society for Computational Economics in its series Computing in Economics and Finance 2006 with number 249.
Date of creation: 04 Jul 2006
Date of revision:
regime switching behaviour; multiple change point; likelihood ratio tests; Hidden Markov Models; Sampling Importance Resampling;
Find related papers by JEL classification:
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
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