Adejumo, Oluwasegun A.; Albert, Seno; Asemota, Omorogbe J. - In: CBN journal of applied statistics 11 (2020) 2, pp. 65-83
employing the Markov regime-switching autore-gressive (MS-AR) model with data from April 2005 to September 2019, the … studyanalyzes the stock market volatility in three distinct regimes (accumulation or distri-bution - regime 1; big-move - regime 2 …; and excess or panic phases - regime 3) ofthe bull and bear periods. Six MS-AR candidate models are estimated and based …