Markov switching models for time series data with dramatic jumps
In this research, the Markov switching autoregressive (MS-AR) model and six different time series modeling approaches are considered. These models are compared according to their performance for capturing the Iranian exchange rate series. The series has dramatic jump in early 2002 which coincides wi...
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Universiti Kebangsaan Malaysia
2012
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my-ukm.journal.35922016-12-14T06:34:53Z http://journalarticle.ukm.my/3592/ Markov switching models for time series data with dramatic jumps Masoud Yarmohammadi, Hamidreza Mostafaei, Maryam Safaei, In this research, the Markov switching autoregressive (MS-AR) model and six different time series modeling approaches are considered. These models are compared according to their performance for capturing the Iranian exchange rate series. The series has dramatic jump in early 2002 which coincides with the change in policy of the exchange rate regime. Our criteria are based on the AIC and BIC values. The results indicate that the MS-AR model can be considered as useful model, with the best fit, to evaluate the behaviors of Iran’s exchange rate Universiti Kebangsaan Malaysia 2012-03 Article PeerReviewed application/pdf en http://journalarticle.ukm.my/3592/1/15%2520Masoud.pdf Masoud Yarmohammadi, and Hamidreza Mostafaei, and Maryam Safaei, (2012) Markov switching models for time series data with dramatic jumps. Sains Malaysiana, 41 (3). pp. 371-377. ISSN 0126-6039 http://www.ukm.my/jsm/contents.html |
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In this research, the Markov switching autoregressive (MS-AR) model and six different time series modeling approaches are considered. These models are compared according to their performance for capturing the Iranian exchange rate series. The series has dramatic jump in early 2002 which coincides with the change in policy of the exchange rate regime. Our criteria are based on the AIC and BIC values. The results indicate that the MS-AR model can be considered as useful model, with the best fit, to evaluate the behaviors of Iran’s exchange rate |
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Article |
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Masoud Yarmohammadi, Hamidreza Mostafaei, Maryam Safaei, |
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Masoud Yarmohammadi, Hamidreza Mostafaei, Maryam Safaei, Markov switching models for time series data with dramatic jumps |
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Masoud Yarmohammadi, Hamidreza Mostafaei, Maryam Safaei, |
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Masoud Yarmohammadi, |
| title |
Markov switching models for time series data with dramatic jumps |
| title_short |
Markov switching models for time series data with dramatic jumps |
| title_full |
Markov switching models for time series data with dramatic jumps |
| title_fullStr |
Markov switching models for time series data with dramatic jumps |
| title_full_unstemmed |
Markov switching models for time series data with dramatic jumps |
| title_sort |
markov switching models for time series data with dramatic jumps |
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Universiti Kebangsaan Malaysia |
| publishDate |
2012 |
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http://journalarticle.ukm.my/3592/1/15%2520Masoud.pdf http://journalarticle.ukm.my/3592/ http://www.ukm.my/jsm/contents.html |
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