Shyu, Yih-Wen; Hsia, Kuangyu - In: International Journal of Electronic Finance 2 (2008) 4, pp. 433-450
Using a Switching Regime ARCH (SWARCH) model and other time series models, this paper sets out to investigate the volatility of Taiwan's monthly stock market returns, with the empirical results demonstrating that our SWARCH-L specification offers a better statistical fit to this leading stock...