TY - JOUR
ID - 11863
TI - Comparing the different types of Markov switching model for Euro to Iran Rial exchange rate
JO - Journal of Mathematics and Modeling in Finance
JA - JMMF
LA - en
SN - 2783-0578
AU - Pourrafiee, Mahdi
AU - Pourmohammad Azizi, S. M. Esmaeil
AU - Mohammadi Larijani, Marzieh
AU - Pahlevannezhad, Ali
AD - Department of Mathematics and Computer Science, Allameh Tabataba'i University, Tehran, Iran.
AD - Department of Mathematics and Computer Science, Allameh Tabataba&rsquo;i University, Tehran, Iran.
AD - Department of Management and Accounting, Allameh Tabataba'i University, Tehran, Iran.
Y1 - 2021
PY - 2021
VL - 1
IS - 1
SP - 57
EP - 66
KW - Markov regime switching
KW - Markov random regime switching model
KW - Dickey-Fuller test
KW - Phillips-Peron test.
DO - 10.22054/jmmf.2020.54870.1014
N2 - According to the rule of equality of equal prices, the price of a foreign commodity within a country depends on the price of the commodity at the origin as well as the exchange rate of that country. According to this rule, if the foreign exchange costs are insignificant, the price of a single commodity will be the same everywhere in terms of price, and ideally the purchasing power of a currency inside and outside the country will be the same. Due to the effect of the exchange rate on financial assets, study of regime change in exchange rate fluctuations is importance and Regime Switching model is the most complete and populare regime change. The aim of this research is to modeling Euro-Rial exchange rate under the model of Markov regime switching and Markov random regime switching model. In order to evaluate the achieved results, unit root test, which included the Dickey-Fuller test and the Phillips-Peron test, is used to estimates Markov regime switching and Markov random regime switching parameters in order to find the best fluctuations model.
UR - https://jmmf.atu.ac.ir/article_11863.html
L1 - https://jmmf.atu.ac.ir/article_11863_92b9d80b16c44f395b0ec09512eae808.pdf
ER -