The study has two aims. The first aim is to propose a family of nonlinear GARCH models that incorporate fractional integration and asymmetric power properties to MS-GARCH processes. The second purpose of the study is to augment the MS-GARCH type models with artificial neural networks to benefit from the universal approximation properties to achieve improved forecasting accuracy. Therefore, the ...

We aim to evaluate two different econometric screens for identifying anti-competitive behavior in the fuel retail market: (i) The Markov-Switching GARCH (MS-GARCH) Models; (ii) Local Gaussian Correlation (LGC) approach. Using gasoline cartel judged and condemned Brasília as a benchmark, our results indicate that LGC model, based on correlation of resale price margin variability, may provide bia...

This paper develops a generalized regime-switching (GRS) model of the short-term interest rate. The model allows the short rate to exhibit both mean reversion and conditional heteroskedasticity and nests the popular generalized autoregressive conditional heteroskedasticity (GARCH) and square root process specifications. The conditional variance process accommodates volatility clustering and dep...

The volatility observed in securities markets has an important influence on the decision making processes of stock market stakeholders. In this study, volatilities BIST100 index which represents Borsa Istanbul was analyzed. For purpose, closing data for period 03.01.1988-20.04.2018 used study. analyzed by Markov regime switching GARCH (MS-GARCH) with three regimes, standard, high and low regime...

Accurate wind power forecasts highly contribute to the integration of wind power into power systems. The focus of the present study is on large-scale offshore wind farms and the complexity of generating accurate probabilistic forecasts of wind power fluctuations at time-scales of a few minutes. Such complexity is addressed from three perspectives: (i) the modeling of a nonlinear and non-station...

This paper investigates the asymmetric effects of monetary policy on economic growth over business cycles in Iran. Estimating the models using the Hamilton (1989) Markov-switching model and by employing the data for 1960-2012, the results well identify two regimes characterized as expansion and recession. Moreover, the results show that an expansionary monetary policy has a positive and statist...

In the present paper, we test use of Markov-Switching (MS) models with time-fixed or Generalized Autoregressive Conditional Heteroskedasticity (GARCH) variances. This, to enhance performance a U.S. dollar-based portfolio that invest in S&P 500 (SP500) stock index, 3-month Treasury-bill (T-BILL) 1-month volatility index (VIX) futures. For investment algorithm, propose two and three-regime, G...

This article examines whether incorporating investors’ uncertainty, as captured by the conditional volatility of sentiment, can help forecasting stock markets. In this regard, using Markov-switching multifractal (MSM) model, we find that uncertainty substantially increase accuracy forecasts market according to forecast encompassing test. We further provide evidence MSM outperforms dynamic corre...