Forecasting the Polish Stock Market Volatility with Markov Switching GARCH Models

Ryszard Doman ()
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Ryszard Doman: Adam Mickiewicz University, Poznań, Poland

Chapter 1 in Forecasting Financial Markets. Theory and Applications, 2005, vol. 0, pp 13-27 from University of Lodz

Abstract: Chapter 1 presents Markov regime-switching methods to modeling and forecasting the volatility of the Polish stock market indices. It examines the predictive power of Markov switching models in forecasting the daily volatility of returns of the Polish stock market indices — WIG, WIG20, and TechWIG. The research gives insight into Markov switching AR-GARCH models with t-Student error distribution and finds the regime-switching methods to perform significantly better than the standard AR-GARCH models.

Keywords: Markov regime-switching models; Volatility modeling and forecasting; Polish stock market; GARCH model (search for similar items in EconPapers)
JEL-codes: C01 E02 F00 G00 (search for similar items in EconPapers)
Date: 2005
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Persistent link: https://EconPapers.repec.org/RePEc:ann:findec:book:y:2005:n:00:ch:01:mon

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