Markov-Switching GARCH Modelling of Value-at-Risk

DOI10.2202/1558-3708.1522MaRDI QIDQ3574728zbMATH OpenOpenAlexFDO

Authors Rasoul Sajjad, Jerry Coakley, John C. Nankervis

Publication date 2 July 2010

Published in Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL http://repository.essex.ac.uk/4770/1/snde.2008.12.3.1522.pdf

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Recommendations

• Theory and inference for a Markov switching GARCH model
• Markov switching component GARCH model: stability and forecasting
• A family of Markov-switching GARCH processes
• Maximum likelihood estimation of the Markov-switching GARCH model
• Integrated Markov-switching GARCH process
• Markov switching GARCH models: filtering, approximations and duality
• A high-order Markov-switching model for risk measurement
• A dynamic Markov regime-switching GARCH model and its cumulative impulse response function

Cited in

(20)

• Maximum likelihood estimation of the Markov-switching GARCH model based on a general collapsing procedure
• Model selection based on value-at-risk backtesting approach for GARCH-type models
• Research on the value at risk of basis for stock index futures hedging in China based on two-state Markov process and semiparametric RS-GARCH model
• The use of GARCH models in VaR estimation
• Estimating value-at-risk for Chinese stock market by switching regime ARCH model
• Modeling carbon spot and futures price returns with GARCH and Markov switching GARCH models
• Term structure of risk under alternative econometric specifications
• Practical implications of higher moments in risk management
• Forecasting market risk using ultra-high-frequency data and scaling laws
• Forecasting VaR models under different volatility processes and distributions of return innovations
• The impact of parameter and model uncertainty on market risk predictions from GARCH‐type models
• Value-at-risk forecasting based on Gaussian mixture ARMA–GARCH model
• Performance of MS-GARCH Models: Bayesian MCMC-Based Estimation
• Impact of foreign exchange rate on oil companies risk in stock market: a Markov-switching approach
• A new approach to Value-at-Risk: GARCH-TSLx model with inference
• Value-at-risk under market shifts through highly flexible models
• Value-at-risk in a market subject to regime switching
• A component Markov regime‐switching autoregressive conditional range model
• A value-at-risk analysis of carry trades using skew-GARCH models
• A high-order Markov-switching model for risk measurement

This page was built for publication: Markov-Switching GARCH Modelling of Value-at-Risk

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3574728)