Regime-switching in the volatility of the Philippine stock market
A Markov-switching model was used on monthly returns of the Philippine stock exchange, based on data from January 3, 2000 to July 31, 2017 to estimate the regime-switching behavior of the stock market's volatility. The study identified high-volatility periods of the stock market and linked them...
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| Format: | text |
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Animo Repository
2024
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| Online Access: | https://animorepository.dlsu.edu.ph/faculty_research/12103 |
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| Institution: | De La Salle University |