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Analysis of Regime Switching Behaviour of Indian Stock Markets

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  • Arnab Kumar Laha

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    (Production & Quantitative Methods Indian Institute of Management)

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    Abstract

    I 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 Info

    Paper provided by Society for Computational Economics in its series Computing in Economics and Finance 2006 with number 249.

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    Date of creation: 04 Jul 2006
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    Handle: RePEc:sce:scecfa:249

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    Related research

    Keywords: regime switching behaviour; multiple change point; likelihood ratio tests; Hidden Markov Models; Sampling Importance Resampling;

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