VOLATILITY CHANGES THROUGH MARKOV SWITCHING ARCH MODEL FOR VALUE-AT-RISK PREDICTION
Markov Swithcing Autoregressive Conditional Heteroscedastic (MSARCH) model provides a description of return uctuation for low and high volatilities. Return behavior with volatility changes is interesting topic, in particular for Value-at-Risk (VaR) prediction. In this thesis, we employ a Markov...
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id-itb.:339402019-01-31T10:49:50ZVOLATILITY CHANGES THROUGH MARKOV SWITCHING ARCH MODEL FOR VALUE-AT-RISK PREDICTION Nugroho, Setyo Matematika Indonesia Theses heteroscedastic process, Markov chain, risk measure, volatility i INSTITUT TEKNOLOGI BANDUNG https://digilib.itb.ac.id/gdl/view/33940 Markov Swithcing Autoregressive Conditional Heteroscedastic (MSARCH) model provides a description of return uctuation for low and high volatilities. Return behavior with volatility changes is interesting topic, in particular for Value-at-Risk (VaR) prediction. In this thesis, we employ a Markov chain to compute the transition probability of volatility changes. Then, a volatility model MSARCH of order (p,1) is used to predict risk measure. Simulation results show that MSARCH(1,1) dominates in calculating VaR prediction. text |
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Indonesia Indonesia |
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Matematika Nugroho, Setyo VOLATILITY CHANGES THROUGH MARKOV SWITCHING ARCH MODEL FOR VALUE-AT-RISK PREDICTION |
| description |
Markov Swithcing Autoregressive Conditional Heteroscedastic (MSARCH) model
provides a description of return
uctuation for low and high volatilities. Return
behavior with volatility changes is interesting topic, in particular for Value-at-Risk
(VaR) prediction. In this thesis, we employ a Markov chain to compute the transition
probability of volatility changes. Then, a volatility model MSARCH of order (p,1) is
used to predict risk measure. Simulation results show that MSARCH(1,1) dominates
in calculating VaR prediction. |
| format |
Theses |
| author |
Nugroho, Setyo |
| author_facet |
Nugroho, Setyo |
| author_sort |
Nugroho, Setyo |
| title |
VOLATILITY CHANGES THROUGH MARKOV SWITCHING ARCH MODEL FOR VALUE-AT-RISK PREDICTION |
| title_short |
VOLATILITY CHANGES THROUGH MARKOV SWITCHING ARCH MODEL FOR VALUE-AT-RISK PREDICTION |
| title_full |
VOLATILITY CHANGES THROUGH MARKOV SWITCHING ARCH MODEL FOR VALUE-AT-RISK PREDICTION |
| title_fullStr |
VOLATILITY CHANGES THROUGH MARKOV SWITCHING ARCH MODEL FOR VALUE-AT-RISK PREDICTION |
| title_full_unstemmed |
VOLATILITY CHANGES THROUGH MARKOV SWITCHING ARCH MODEL FOR VALUE-AT-RISK PREDICTION |
| title_sort |
volatility changes through markov switching arch model for value-at-risk prediction |
| url |
https://digilib.itb.ac.id/gdl/view/33940 |
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1821996634079232000 |