Contact Us

For Marketing, Sales and Subscriptions Inquiries
Rockefeller Center, 45 Rockefeller Plaza
20th Flr Unit #5, New York, NY 10111
United States

Conference List

The Economics and Finance Letters

March 2019, Volume 6, 1, pp 92-99

Regime Changes in the Volatility of Stock Markets

Houda Litimi

Houda Litimi 1

  1. University of Jeddah, College of Business, Khulais Branch, Department of Finance, Saudi Arabia. 1

on Google Scholar
on PubMed

Pages: 92-99

DOI: 10.18488/journal.29.2019.61.92.99

Share :

Article History:

Received: 30 January, 2019
Revised: 08 March, 2019
Accepted: 16 April, 2019
Published: 02 July, 2019


Modeling and forecasting the volatility of financial markets has been the subject of considerable research over the last few decades. It is a key indicator on which financial decisions are based, knowing that the behavior of financial market operators is changing. In this regard, the most popular model in the description of the volatility of financial asset returns is certainly that of the heteroskedastic type. Some authors explain that the behavior of conditional variance can come from structural changes that are not considered by standard GARCH models; hence, the motivation of this paper is to investigate the GARCH model with regime changes. Applications on several world stock indexes, namely, the American S&P 500, the Japanese Nikkei 225, and the French CAC 40 show that the model with regime changes explains the dynamics of risk more efficiently than the classical single-regime models. Furthermore, the conditional distributions of the returns are better modeled with the flexible student’s t test.
Contribution/ Originality
This study uses a new estimation methodology by using a GARCH model with regime changes to explain the dynamics of conditional volatility.


GARCH, Volatility, Regime change, Indexes.




Google Scholor ideas Microsoft Academic Search bing Google Scholor


This study received no specific financial support.

Competing Interests:

The author declares that there are no conflicts of interests regarding the publication of this paper.


Related Article

( 1 ) Military Regimes and Nigeria’s Economic Development, 1966-1999
( 2 ) Regime Changes in the Volatility of Stock Markets
( 3 ) The Effects of Changes in Accounting Standards on Value Relevance of Financial Statement Information of Malaysia and Nigeria Banks
( 4 ) A Review upon the Changes Which Come With the Model upon Turkish Metropolitan Municipality within the Provincial Administrative Boundaries
( 5 ) The Effect of Exchange Rate Changes on Consumer Prices in Nigeria: Evidence from VECM Model
( 7 ) Impact of Food Beverage Price Index and Exchange Rate Volatility on Economic Growth
( 8 ) Implications of Crude Oil Price Volatility and Parallel Exchange Rate Fluctuation on the Cost of Living in Nigeria
( 9 ) Forecasting Equity Index Volatility: Empirical Evidence from Japan, UK and USA Data
( 11 ) Exchange Rate Volatility, Foreign Exchange Market Intervention and Asymmetric Preferences
( 12 ) Exchange Rate Volatility and Agricultural Commodity Prices i Nigeria (2000-2018)
( 13 ) Cross-Time-Frequency Analysis of Volatility Interdependence among Stock and Currency Markets
( 14 ) Modelling Stock Returns Volatility and Asymmetric News Effect: A Global Perspective
( 15 ) An Analyses of Exchange Rate Volatility: A Case of SANE Countries
( 16 ) Testing the Random Walks in Korea Stock Exchange
( 17 ) Kashmir Peasant Economy under Dogra’s: A Case Study of Agrarian Produce and Livestock 1885-1925 A.D
( 18 ) Driving Role of Institutional Investors in the Indian Stock Market in Short and Long-Run – An Empirical Study
( 19 ) Reminiscing Stock Splits Announcement: A Malaysian Case
( 20 ) Testing the Random Walk: The Case of Hong Kong Stock Exchange
( 21 ) Earnings Management and Stock Market Returns
( 22 ) Stock Market Performance and Economic Growth: Evidence from Nigeria Employing Vector Error Correction Model Framework
( 23 ) Stock Market Index Prediction with Neural Network during Financial Crises: A Review on Bist-100
( 24 ) The Impact of the Global Financial Crisis on the Debt, Liquidity, Growth, and Volume of Companies in Palestine Stock Exchange
( 25 ) Studying the Integration of Damascus Securities Exchange with Selected Stock Markets
( 26 ) Does Gold Price Lead or Lags Islamic Stock Market and Strategy Commodity Price? A Study from Malaysia
( 27 ) The Effect of Internal and External Factors of Companies on Profitability and its Implications on Stock Price Index of State-Owned Banks
( 29 ) Optimal Stock Portfolio Issuers of Building Construction Registered in LQ45 Based on the Markowitz Approach
( 30 ) Factors Affecting the Individual Stock Price Index (IHSI) Industrial Manufacturing Sector in Indonesia, Automotive Sub Sectors, and Components in Indonesia Stock Exchange (IDX)
( 31 ) Effect of Savings Deposit Rate on Stock Market Capitalization in Nigeria: An Empirical Investigation
( 32 ) Determinants of Profitability and its Implications on Corporate Values (Studies at Ceramic, Porcelain and Glass Sub Sector Listed in Indonesia Stock Exchange, 2009 - 2018)
( 33 ) Financial Risks in Turkish Banking Industry: A Panel Data Analaysis on Istanbul Stock Exchange