Markov Switching Model for Financial Time Series

Abstract

Modeling financial time series is an important step for its forecast and risk evaluation when financial assets are involved. In this context, this article presents a Markov Switching Model for BET series recorded during the period Oct-2000 - Sept-2014. It is shown that the model captures two phases in the series variation, even if the series is not stationary.

Keywords

• markov switching model (mswm)
• time series
• bet