Markov switching models for time series data with dramatic jumps

• Main Authors: Masoud Yarmohammadi, Hamidreza Mostafaei, Maryam Safaei
• Format: Article
• Language: English
• Published: Universiti Kebangsaan Malaysia 2012
• Online Access: http://journalarticle.ukm.my/3592/1/15%2520Masoud.pdf; http://journalarticle.ukm.my/3592/; http://www.ukm.my/jsm/contents.html
• Institution: Universiti Kebangsaan Malaysia

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...