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Analysis Of Turkish Stock Market With Markov Regime Switching Volatility Models

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.

Identiferoai:union.ndltd.org:METU/oai:etd.lib.metu.edu.tr:http://etd.lib.metu.edu.tr/upload/3/12609787/index.pdf
Date01 August 2008
CreatorsKaradag, Mehmet Ali
ContributorsDanisoglu, Seza
PublisherMETU
Source SetsMiddle East Technical Univ.
LanguageEnglish
Detected LanguageEnglish
TypeM.S. Thesis
Formattext/pdf
RightsTo liberate the content for public access

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