Regime Switching GARCH Models and GARCH Models, in Stock Market of the Developing Countries'

2012 ◽  
Author(s):  
Minoo Nazifi ◽  
Shahram Fatahi
Keyword(s):  
Developing Countries ◽  
Stock Market ◽  
Regime Switching ◽  
Garch Models

scholarly journals The Regime-Switching Behaviour of Exchange Rates and Frontier Stock Market Prices in Sub-Saharan Africa

2021 ◽  
Vol 14 (3) ◽  
pp. 122
Author(s):  
Maud Korley ◽  
Evangelos Giouvris
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
Regime Switching ◽  
Markov Switching ◽  
Sub Saharan Africa ◽  
Var Model ◽  
High Volatility ◽  
Sub Saharan ◽  
The Relationship ◽  
Fx Market

Frontier markets have become increasingly investible, providing diversification opportunities; however, there is very little research (with conflicting results) on the relationship between Foreign Exchange (FX) and frontier stock markets. Understanding this relationship is important for both international investor and policymakers. The Markov-switching Vector Auto Regressive (VAR) model is used to examine the relationship between FX and frontier stock markets. There are two distinct regimes in both the frontier stock market and the FX market: a low-volatility and a high-volatility regime. In contrast with emerging markets characterised by “high volatility/low return”, frontier stock markets provide high (positive) returns in the high-volatility regime. The high-volatility regime is less persistent than the low-volatility regime, contrary to conventional wisdom. The Markov Switching VAR model indicates that the relationship between the FX market and the stock market is regime-dependent. Changes in the stock market have a significant impact on the FX market during both normal (calm) and crisis (turbulent) periods. However, the reverse effect is weak or nonexistent. The stock-oriented model is the prevalent model for Sub-Saharan African (SSA) countries. Irrespective of the regime, there is no relationship between the stock market and the FX market in Cote d’Ivoire. Our results are robust in model selection and degree of comovement.

scholarly journals Asymmetric Reactions of China’s Stock Market to Short-Term Interest Rates

2016 ◽  
Vol 8 (5) ◽  
pp. 260 ◽  
Author(s):  
Fang Fang ◽  
Weijia Dong ◽  
Xin Lv
Keyword(s):  
Stock Market ◽  
Interest Rates ◽  
Stock Returns ◽  
Regime Switching ◽  
Developed Countries ◽  
Short Term ◽  
Bear Market ◽  
Bull Market ◽  
Negative Effect ◽  
Markov Regime Switching Model

This paper investigates how China’s stock market reacts to short-term interest rates, as represented by the Shanghai Interbank Offered Rate (Shibor). We adopt the Markov Regime Switching model to divide China’s stock market into Medium, Bull and Bear market; and then examine how Shibor influences market returns and risk in different market regimes. We find that short-term interest rates have a significant negative effect on stock returns in Medium and Bull market, but could not affect stock returns in Bear market. In addition, different maturities of Shibor have different effects on stock returns. Furthermore, we find that the short-term interest rates have a negative effect on market risk in Bull market, but a positive effect in Bear market. Our findings show that China’s market is quite peculiar and distinctive from the U.S. market or other developed countries’ markets in many ways.

Estimating volatility using GARCH models on the Romanian stock market

2021 ◽  
Vol 1 (1) ◽  
pp. 1
Author(s):  
Eva Dezsi ◽  
Dragos Paun ◽  
Ioan Alin Nistor
Keyword(s):  
Stock Market ◽  
Garch Models
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