文章基本信息

标题：THE TUNISIAN STOCK MARKET: A REGIME SWITCHING APPROACH
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作者：Ahdi Noomen Ajmi ; Lanouar Charfeddine
期刊名称：Asian Journal of Business and Management Sciences
电子版ISSN：2047-2528
出版年度：2012
卷号：1
期号：03
页码：43-53
出版社：Society for Business Research Promotion
摘要：Recent empirical researches report that nonlinear dynamics is present in stock market returns. This paper examines whether the Tunisian stock market (TUNINDEX) return exhibits a regime switching behavior. Two kinds of models, the Logistic Smooth Transition Autoregressive (LSTAR) and the Markov switching autoregressive model (MSAR), are considered in order to investigate the possibility of the presence of changes in volatility. The results show that the 2-regimes LSTAR model and the 3-states Markov Switching model are more appropriate to model this series against linear model. Moreover, by analyzing the residuals proprieties of these two models, the LSTAR model seems to be more appropriate for modeling the Tunisian market index. Full Text