University of TehranFinancial Research Journal1024-815316120140321Tehran Stock Exchange dynamics in a Markov regime switching EGARCH-in-mean modelTehran Stock Exchange dynamics in a Markov regime switching EGARCH-in-mean model77985184110.22059/jfr.2014.51841FARezaRaeeShapoorMohmadiAlirezaSaranj0000-0001-7921-9264Journal Article20130206This paper examines regime shifts in TEDPIX return and volatility and the effects of positive and negative crude oil shocks and gold price fluctuations on stock market shifts behavior using Markov switching EGARCH model with Studentâ€™s t-distribution. We detect two episodes of series behavior, one relative to low mean/high variance regime namely bear state and the other to high mean/low variance regime namely bull state so that the expected duration of bull state is more than twice as long as the other one. The results show that the external variables involving positive and negative crude oil shocks and gold price fluctuations significantly impact neither on the equity return nor on transition probability between regimes but they have significant effect on the stock market volatility.This paper examines regime shifts in TEDPIX return and volatility and the effects of positive and negative crude oil shocks and gold price fluctuations on stock market shifts behavior using Markov switching EGARCH model with Studentâ€™s t-distribution. We detect two episodes of series behavior, one relative to low mean/high variance regime namely bear state and the other to high mean/low variance regime namely bull state so that the expected duration of bull state is more than twice as long as the other one. The results show that the external variables involving positive and negative crude oil shocks and gold price fluctuations significantly impact neither on the equity return nor on transition probability between regimes but they have significant effect on the stock market volatility.https://jfr.ut.ac.ir/article_51841_99b535448fc7179fbeae5c5aee4f7e77.pdf