Zolfaghari, Mehdi; Hoseinzade, Saeid - In: Cogent Economics & Finance 8 (2020) 1, pp. 1-49
We employ the Markov Regime-Switching GARCH (MRS- GARCH) family models under the normal, Student's t-, and GED distributions to measure the uncertainty of the industry index returns (IIR) of Tehran Stock Exchange over the period of 2013-2019. The models distinguish between two different regimes...
