Özet:

The main objective of this study is to analyze the depression and expansion periods by using Markov Switching Autoregressive Models. It is intended to provide information to the investors with investigating the durations and probabilities. In a Markov regime switching model, the switching mechanism between regimes or states, is controlled by an unobservable state variable that follows a first-order Markov chain. The behavior of metal futures prices may change conditional on their own past state of nature or on the state of nature of other related variables is indicated. The data used includes daily closed prices of Gold Futures (1541 days), Silver Futures (1868 days), Copper Futures (1868 days), Palladium Futures (1559 days) and Platinum Futures (1863 days) between 04.01.2010 and 31.12.2015.

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