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2 results for “Markov-Switching Autoregressive (MS-AR) Model”
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Research ArticleOpen accessEvery word in the titleStudy on the Relationship between International and Domestic Grain Prices in Developing Countries—An Application of Markov-Switching Autoregressive Model—Shuqin Yan, Kolawole Ogundari, Hiroshi Isoda, Shoichi ItoThis study aims at estimating the influence of international grain prices on the domestic grain prices in 24 developing countries using a nonlinear model, Markov-Switching Autoregressive model. The results indicate that international grain prices have a positive influence on domestic grain prices before and during/after the grain price-hikes, while the degree of influence may vary depending upon grains and countries. … …American Journal of Economics and Business Administration, Vol. 8, Issue 2 · 31 Jul 2016 · 7,796 accessesView PDFCite
Research ArticleOpen accessIn the abstractForecasting the Stock Exchange of Thailand uses Day of the Week Effect and Markov Regime Switching GARCHP. Sattayatham, N. Sopipan, B. PremanodeProblem statement: We forecast return and volatility of the Stock Exchange of Thailand (SET) Index. Approach: In this study, we modeled the SET Index returns using mean equation with day of the week effect and autoregressive moving-average. Next we forecast the volatility of the SET Index by using the GARCH-type model and the Markov Regime Switching GARCH (MRS-GARCH) model. Results: … …American Journal of Economics and Business Administration, Vol. 4, Issue 1 · 15 Mar 2012 · 7,865 accessesView PDFCite