Open AccessTesting for the Number of Regimes in Financial Time Series GARCH Volatility
Author(s) -
Abdellah Tahiri,
Brahim Benaid,
Hassane Bouzahir,
Naushad Ali Mamode Khan
Publication year - 2021
Publication title -
international journal of applied economics, finance and accounting
Language(s) - English
Resource type - Journals
ISSN - 2577-767X
DOI - 10.33094/8.2017.2021.92.82.94
Subject(s) - volatility clustering , stylized fact , econometrics , volatility (finance) , autoregressive conditional heteroskedasticity , markov chain monte carlo , leverage effect , deviance information criterion , financial models with long tailed distributions and volatility clustering , conditional variance , stochastic volatility , economics , bayesian probability , forward volatility , mathematics , statistics , macroeconomics