Sains
Malaysiana 41(3)(2012): 371–377
Markov Switching Models for Time Series
Data with Dramatic Jumps
(Model Peralihan Markov untuk Data Siri Masa dengan Lompatan Drastik)
Masoud Yarmohammadi*, Hamidreza
Mostafaei
& Maryam Safaei
Department of Statistics, Tehran North
Branch, Islamic Azal University, Tehran Iran
Diserahkan: 10 Jun 2011 / Diterima: 19
September 2011
ABSTRACT
In this research, the Markov switching
autoregressive (MS-AR) model and six different time series modeling approaches
are considered. These models are compared according to their performance for
capturing the Iranian exchange rate series. The series has dramatic jump in
early 2002 which coincides with the change in policy of the exchange rate
regime. Our criteria are based on the AIC and BIC values. The results indicate
that the MS-AR model can be considered as useful model, with the best fit, to
evaluate the behaviors of Iran’s exchange rate.
Keywords: Fluctuations of exchange rate; Markov
Switching Autoregressive model; nonlinear times series models
ABSTRAK
Dalam penyelidikan ini model autoregresi Markov (MS-AR) dan enam pendekatan model siri masa dipertimbangkan. Model-model ini dibandingkan mengikut keupayaan mendapatkan siri kadar pertukaran wang Iran. Siri ini mempunyai lompatan drastik pada awal 2002 yang berlaku serentak dengan perubahan polisi kadar regim pertukaran wang. Kriteria yang telah kami gunakan adalah berasaskan kepada nilai AIC dan BIC. Keputusan menujukkan bahawa model MS-AR boleh dikatakan berguna.
Kata kunci: Model autoregrasi peralihan Markov; model siri masa tak linear; naik-turun kadar pertukaran
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*Pengarang
untuk surat-menyurat; email: h_mostafaei@iau-tnb.ac.ir
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