Regime-switching in the volatility of the Philippine stock market

• المؤلف الرئيسي: Almonares, Ray Anthony L.
• التنسيق: text
• منشور في: Animo Repository 2024
• الموضوعات: Stocks—Philippines—Rate of return; Stock exchanges > Philippines; Finance and Financial Management
• الوصول للمادة أونلاين: https://animorepository.dlsu.edu.ph/faculty_research/12103
• المؤسسة: De La Salle University

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...