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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| Format: | Theses |
| Language: | Indonesia |
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| Online Access: | https://digilib.itb.ac.id/gdl/view/33940 |
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| Institution: | Institut Teknologi Bandung |
| Language: | Indonesia |