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A Markov Regime Switching Approach of Estimating Volatility Using Nigerian Stock Market
2020
American Journal of Theoretical and Applied Statistics
Understanding and forecasting the behavior of volatility in stock market has received significant attention among researchers and analysts in the last few decades due to its crucial roles in financial markets. Portfolios managers, option traders, and market makers are all interested in the possibility of forecasting, with a reasonable level of accuracy. This study examined the volatility on the Nigeria stock market by comparing two Markov regime switching Autoregressive (MS-AR) Models estimated
doi:10.11648/j.ajtas.20200904.11
fatcat:kezuvg2pincnfehqtyedoufjiq