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Estimating Stock Price in Energy Market Including Oil, Gas, and Coal: The Comparison of Linear and Non-Linear Two-State Markov Regime Switching Models | ||
| Interdisciplinary Journal of Management Studies (Formerly known as Iranian Journal of Management Studies) | ||
| مقاله 7، دوره 10، شماره 3، مهر 2017، صفحه 715-728 اصل مقاله (582.6 K) | ||
| نوع مقاله: Research Paper | ||
| شناسه دیجیتال (DOI): 10.22059/ijms.2017.221553.672398 | ||
| نویسندگان | ||
| Reza Mohseni* ؛ Leila Sakhtkar Modallal | ||
| Faculty of Economic and Political Sciences, Shahid Beheshti University, Tehran, Iran | ||
| چکیده | ||
| A common method to study the dynamic behavior of macroeconomic variables is using linear time series models; however, they are unable to explain nonlinear behavior of the series. Given the dependency between stock market and derivatives, the behavior of the underlying asset price can be modeled using Markov switching process properties and the economic regime significance. In this paper, a two-state Markov switching model in energy market has been examined for oil, coal, and gas since 1991 to 2011. The objective price estimated by the switching model and the parameters were determined by using MATLAB program. With regard to the relationship between the total price and the variables defined in this paper, it is concluded that the non-linear model is relatively better than the linear model, since it has lower RMSE and greater R-squared, therefore it is better to use nonlinear model in Markov switching model for predicting the price of stocks. | ||
| کلیدواژه‌ها | ||
| Markov switching regime models؛ linear and non-linear؛ energy market | ||
| مراجع | ||
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