Analysis of Regime Switching Behaviour of Indian Stock Markets

Arnab Kumar Laha ()
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Arnab Kumar Laha: Production & Quantitative Methods Indian Institute of Management

No 249, Computing in Economics and Finance 2006 from Society for Computational Economics

Abstract: I consider the problem of detecting and predicting regime switching behaviour in the context of Indian Stock Market data. First I discuss detection of volatility change points using the LRT and the Binary Segmentation procedure of Vostrikova (1981). The detected volatility changes are correlated with important national and international events during that time. Then I analyse regime switching behaviour using Hidden Markov Models. I use a Bayesian route and use the Sampling Importance Resampling methodology to obtain the approximate posterior distributions

Keywords: regime switching behaviour; multiple change point; likelihood ratio tests; Hidden Markov Models; Sampling Importance Resampling (search for similar items in EconPapers)
JEL-codes: C11 C12 C15 (search for similar items in EconPapers)
Date: 2006-07-04
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Persistent link: https://EconPapers.repec.org/RePEc:sce:scecfa:249

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