Interaction of mean and variance of time series: a Markov switching analysis

Author

Chin, T.C. ; Mital, D.P. ; Chua, H.C.

Author_Institution

Sch. of Electr. & Electron. Eng., Nanyang Technol. Inst., Singapore

Volume

1

fYear

2000

fDate

2000

Firstpage

423

Abstract

Describes the analysis of interaction of the mean and the variance of time series using a Markov switching model. In particular, we include Markov switching heteroscedasticity in the standard time series model. The proposed Markov switching model is applied to investigate the link between the mean and variance for the Singapore private property price index series. We assume that the price data series consists of a stochastic-trend random-walk component and a stationary autoregressive component. A four-state model of the price data series is then specified. By incorporating regime shifts in both mean and variance structures, we then analyse the interaction of mean and variance over long and short horizons

Keywords

Markov processes; autoregressive processes; economic cybernetics; property market; switching; time series; Markov switching analysis; Singapore private property price index series; heteroscedasticity; mean-variance interaction; price data series; random-walk component; regime shifts; stationary autoregressive component; stochastic trend; time series; Analysis of variance; Data engineering; Electric shock; Equations; Markov processes; State-space methods; Stochastic processes; Time measurement; Time series analysis; Uncertainty;

fLanguage

English

Publisher

ieee

Conference_Titel

Knowledge-Based Intelligent Engineering Systems and Allied Technologies, 2000. Proceedings. Fourth International Conference on

Conference_Location

Brighton

Print_ISBN

0-7803-6400-7

Type

conf

DOI

10.1109/KES.2000.885846

Filename

885846