Dynamic behavior of volatility in a nonstationary generalized regime-switching GARCH model

2016 ◽  
Vol 115 ◽  
pp. 36-44 ◽  
Author(s):  
Won-Tak Hong ◽  
Eunju Hwang
Keyword(s):  
Dynamic Behavior ◽  
Regime Switching ◽  
Garch Model

scholarly journals A multivariate regime-switching GARCH model with an application to global stock market and real estate equity returns

2018 ◽  
Vol 22 (3) ◽  
Author(s):  
Markus Haas ◽  
Ji-Chun Liu
Keyword(s):  
Real Estate ◽  
Stock Market ◽  
Regime Switching ◽  
Markov Switching ◽  
Garch Model ◽  
Equity Returns ◽  
Out Of Sample ◽  
High Volatility ◽  
Simple Recursion ◽  
Global Stock

AbstractWe consider a multivariate Markov-switching GARCH model which allows for regime-specific volatility dynamics, leverage effects, and correlation structures. Conditions for stationarity and expressions for the moments of the process are derived. A Lagrange Multiplier test against misspecification of the within-regime correlation dynamics is proposed, and a simple recursion for multi-step-ahead conditional covariance matrices is deduced. We use this methodology to model the dynamics of the joint distribution of global stock market and real estate equity returns. The empirical analysis highlights the importance of the conditional distribution in Markov-switching time series models. Specifications with Student’stinnovations dominate their Gaussian counterparts both in- and out-of-sample. The dominating specification appears to be a two-regime Student’stprocess with correlations which are higher in the turbulent (high-volatility) regime.

scholarly journals A dynamic markov regime-switching asymmetric GARCH model and its cumulative impulse response function

2021 ◽  
Vol 16 (1) ◽  
pp. 2537-2559
Author(s):  
Gado SEMA ◽  
Mamadou Abdoulaye Konté ◽  
Abdou Kâ Diongue
Keyword(s):  
Impulse Response ◽  
Financial Market ◽  
Regime Switching ◽  
Impulse Response Function ◽  
Garch Model ◽  
Market Volatility ◽  
Markov Regime Switching ◽  
Proposed Model ◽  
Asymmetric Garch ◽  
Better Than

In this paper, we consider the Markov regime-switching GJR-GARCH(1,1) model to capture both the cumulative impulse response and the asymmetry of the dynamic behavior of financial market volatility in stationary and explosive states. The model can capture regime shifts in volatility between two regimes as well as the asymmetric response to negative and positive shocks. A Monte Carlo simulation is conducted to validate the main theory and find that the regime-switching GJR-GARCH model performs better than the standard GJR-GARCH model. Applications to Brazilian stock market data show that the proposed model performs well in terms of cumulative impulse response.

scholarly journals Dynamic behavior of a stochastic predator-prey system under regime switching

2017 ◽  
Vol 22 (9) ◽  
pp. 3483-3498
Author(s):  
Nguyen Huu Du ◽  
◽  
Nguyen Thanh Dieu ◽  
Tran Dinh Tuong ◽  
◽  
...  
Keyword(s):  
Dynamic Behavior ◽  
Regime Switching ◽  
Predator Prey ◽  
Prey System
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