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      APPLICATION OF THE ARCH and MS-ARCH MODELS TO THE
      IBEX-35 RETURN SERIES

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            Abstract

            In the analysis of financial time series, the Autoregressive models with ConditionalHeteroskedasticity (ARCH) and their generalization, the GARCH models, have beenwidely used, demonstrating their good qualities for modeling the volatilities typical of thistype of series. As an alternative, Switching Markov models have emerged that allow theinclusion of random phenomena as possible structural changes in the mean or varianceprocess. This paper aims to demonstrate the best suitability of these regime-switchingprocesses for modeling the conditional variance of the IBEX-35 Index returns.

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            Author and article information

            Journal
            ScienceOpen Preprints
            ScienceOpen
            20 September 2022
            Affiliations
            [1 ] C/ Infanta Mercedes nº 39, Piso 4º, Letra F
            Author notes
            Article
            10.14293/S2199-1006.1.SOR-.PPLFZ2S.v1
            6c1d4db6-a576-4c3d-b8b6-063fbf85f00f

            This work has been published open access under Creative Commons Attribution License CC BY 4.0 , which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. Conditions, terms of use and publishing policy can be found at www.scienceopen.com .


            The datasets generated during and/or analysed during the current study are available from the corresponding author on reasonable request.
            Economics
            Conditional volatility, GARCH models, Switching Markov models, Regime, Stock index, Conditional heteroskedasticity.

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