TY - JOUR AU - Prihartani, Wiwik AU - Rasyid, Dwilaksana Abdullah AU - Iriawan, Nur PY - 2020/08/01 Y2 - 2024/03/28 TI - Stock Daily Price Regime Model Detection using Markov Switching Model JF - MATEMATIKA JA - MATEMATIKA VL - 36 IS - 2 SE - Articles DO - 10.11113/matematika.v36.n2.1189 UR - https://matematika.utm.my/index.php/matematika/article/view/1189 SP - 127-140 AB - <p><span class="fontstyle0">Changes in stock prices randomly occur due to market forces with reoccurrence<br />possibilities. This process, also known as the structural break model, is captured through<br />changes in the linear model parameters among periods with the Markov Switching Model<br />(MSwM) used for detection. Furthermore, using the smallest Akaike Information Criterion<br />(AIC) value on all feasible MSwM alternatives formed for a daily stock price, the complete<br />MSwM model with its Markov transition is determined. This method has been tested and<br />applied to daily stock price data in several sectors. The result showed that the number of<br />regime models coupled with its transition probability helped investors make investment<br />decisions.</span> <br /><br /></p> ER -