Regimes, Non-Linearities, and Price Discontinuities in Indian Energy Stocks

Charles Shaw

MPRA Paper from University Library of Munich, Germany

Abstract: We construct a representative index of largest Indian energy companies listed on the National Stock Exchange (NIFTY 50). We test for presence of regimes, non-linearities, and jumps in the price signal. We benchmark performance against alternative models, including single-regime models and models with no jumps. We then benchmark the quality of regime identification against other indices examined in the literature, such as Nikkei 225 and FTSE 100. Overall, find that our regime-switching model performs well in identifying the regimes in this comparative setting. Based on our model selection criteria, we prefer a regime-augmented model to a model that allows no regime identification. But overall, we prefer a model with jumps and regimes over those that do not allow for jump-diffusion and Markov regime-switching.

Keywords: regime switching; non-linear equilibrium asset pricing models; jumps. (search for similar items in EconPapers)
JEL-codes: G11 G12 (search for similar items in EconPapers)
Date: 2020-12-17
New Economics Papers: this item is included in nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/104798/1/MPRA_paper_104798.pdf original version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:104798

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().