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...
Saved in:
| 主要作者: | |
|---|---|
| 格式: | Theses |
| 語言: | Indonesia |
| 主題: | |
| 在線閱讀: | https://digilib.itb.ac.id/gdl/view/33940 |
| 標簽: |
添加標簽
沒有標簽, 成為第一個標記此記錄!
|