Application of Markov Regime Switching Autoregressive Model to Gold Prices in Pakistan

Autor:	Mahmood Ul Hassan, Hina Ali, Tahira Bano Qasim, Gul Zaib Iqbal
Rok vydání:	2021
Předmět:	symbols.namesake Heteroscedasticity Autoregressive model Markov chain Econometrics symbols Markov process General Medicine Regime switching Empirical evidence Mathematics
Zdroj:	Review of Economics and Development Studies. 7:309-323
ISSN:	2519-9706 2519-9692
DOI:	10.47067/reads.v7i3.368
Popis:	The goal of this study is to investigate the performance of the Markov regime switching autoregressive (MRS-AR) model to estimate and forecast the gold prices in Pakistan. Initial analysis of the data covering from January 1995 to January 2019 reveals the existence of nonstationarity, heteroscedasticity, and structural changes. The dynamics of the data are studied in two distinct regimes. The empirical analysis provides evidence that the regime shifts are mattered and MRS-AR model is found to be suitable even in the case of nonstationarity. Moreover, it is worthwhile to note that the Markov regime switching successfully captures the nonlinearities and heteroscedasticity underlying the selected data and provides efficient forecasts. Based on empirical evidence it is recommended that the applications of regime switching models should be promoted in other fields of life.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::98093bca2ffd0bd7a9f70cc6371e8596 https://doi.org/10.47067/reads.v7i3.368 Zobrazit plný text záznamu