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Analysis of Regime Switching Behaviour of Indian Stock Markets


  • Arnab Kumar Laha

    () (Production & Quantitative Methods Indian Institute of Management)


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

Suggested Citation

  • Arnab Kumar Laha, 2006. "Analysis of Regime Switching Behaviour of Indian Stock Markets," Computing in Economics and Finance 2006 249, Society for Computational Economics.
  • Handle: RePEc:sce:scecfa:249

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    More about this item


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

    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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