eprintid: 6757
rev_number: 2
eprint_status: archive
userid: 1
dir: disk0/00/00/67/57
datestamp: 2023-11-09 16:18:33
lastmod: 2023-11-09 16:18:33
status_changed: 2023-11-09 16:07:35
type: conference_item
metadata_visibility: show
creators_name: Wai, P.S.
creators_name: Kun, S.S.
creators_name: Ismail, M.T.
creators_name: Karim, S.A.A.
title: Model performance between linear vector autoregressive and Markov switching vector autoregressive models on modelling structural change in time series data
ispublished: pub
keywords: Financial data processing; Switching; Time series; Value engineering, Auto-regressive; Financial time series; Heteroskedasticity; linear VAR; Linear vectors; Markov switching; Model performance; Time-series data, Vectors
note: cited By 5; Conference of 2015 International Symposium on Mathematical Sciences and Computing Research, iSMSC 2015 ; Conference Date: 19 May 2015 Through 20 May 2015; Conference Code:124374
abstract: Real financial time series data always exhibit structural change, jumps or breaks. Thus, in this paper, the performance of the linear vector autoregressive model (VAR), mean adjusted Markov switching vector autoregressive model (MSM-VAR) and mean adjusted heteroskedasticity Markov switching vector autoregressive model (MSMH-VAR) are applied in order to examine the oil price return and the gold price return effect on stock market returns. The two break point tests indicate the existence of break dates in the data. In addition, a comparison among the three model's performance show that the two Markov switching vector autoregressive models with first autoregressive order able to provide the most significance, reliable and valid results as compared to linear vector autoregressive. © 2015 IEEE.
date: 2016
publisher: Institute of Electrical and Electronics Engineers Inc.
official_url: https://www.scopus.com/inward/record.uri?eid=2-s2.0-84995605754&doi=10.1109%2fISMSC.2015.7594083&partnerID=40&md5=f4f6939c1b18769060fd3ba464fd8216
id_number: 10.1109/ISMSC.2015.7594083
full_text_status: none
publication: 2015 International Symposium on Mathematical Sciences and Computing Research, iSMSC 2015 - Proceedings
pagerange: 379-383
refereed: TRUE
isbn: 9781479978946
citation:   Wai, P.S. and Kun, S.S. and Ismail, M.T. and Karim, S.A.A.  (2016) Model performance between linear vector autoregressive and Markov switching vector autoregressive models on modelling structural change in time series data.  In: UNSPECIFIED.