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Analysis of Turkish stock market with Markov regime switching volatility models
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Date
2008
Author
Karadağ, Mehmet Ali
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In this study, both uni-regime GARCH and Markov Regime Switching GARCH (SW-GARCH) models are examined to analyze Turkish Stock Market volatility. We investigate various models to find out whether SW-GARCH models are an improvement on the uni-regime GARCH models in terms of modelling and forecasting Turkish Stock Market volatility. As well as using seven statistical loss functions, we apply Superior Predictive Ability (SPA) test of Hansen (2005) and Reality Check test (RC) of White (2000) to compare forecast performance of various models.
Subject Keywords
Finance.
,
Stochastic volatility.
URI
http://etd.lib.metu.edu.tr/upload/3/12609787/index.pdf
https://hdl.handle.net/11511/17741
Collections
Graduate School of Applied Mathematics, Thesis
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M. A. Karadağ, “Analysis of Turkish stock market with Markov regime switching volatility models,” M.S. - Master of Science, Middle East Technical University, 2008.
