Modeling volatility regimes in the Swedish stock exchange using a Hidden Markov Model
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H Tawbi, K Zubovic
2026
diva-portal.org
This thesis investigates whether financial market volatility can be described as a regime-switching process rather than a constant or continuously evolving one. Financial time series are characterized by volatility that varies over time. Understanding such dynamics is important to gain a better understanding of financial markets. The study focuses on the OMXS30 index and examines whether distinct and persistent volatility regimes can be identified from daily log-returns. To address this, a Hidden Markov Model is applied. The …
