Analysis of Turkish stock market with Markov regime switching volatility models

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2008
Karadağ, Mehmet Ali
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.

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Citation Formats
M. A. Karadağ, “Analysis of Turkish stock market with Markov regime switching volatility models,” M.S. - Master of Science, Middle East Technical University, 2008.