Analyzing Cambodia Securities Exchange Index Returns using the Markov-Switching Autoregressive Model
The examination of the weekly return behavior of the Cambodia Securities Exchange (CSX) index, spanning from 2012 to 2024, was categorized into two distinct states or regimes using the Markov-Switching Autoregressive model.The research findings indicated that the MS(2)-AR(1) model, which includes two states or regimes and a first-order autoregressi