Forecasting Asian credit default swap spreads: A comparison of multi-regime models

© Springer International Publishing AG 2017. This paper aims to explore the best forecasting model for predicting the Credit Default Swap (CDS) index spreads in emerging markets Asia by comparing the forecasting performance between the multi-regime models. We apply threshold, Markov switching, Marko...

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Main Authors: Khiewngamdee C., Yamaka W., Sriboonchitta S.
Format: Book Series
Published: 2017
Online Access:https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85012890916&origin=inward
http://cmuir.cmu.ac.th/jspui/handle/6653943832/40742
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Institution: Chiang Mai University
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spelling th-cmuir.6653943832-407422017-09-28T04:11:13Z Forecasting Asian credit default swap spreads: A comparison of multi-regime models Khiewngamdee C. Yamaka W. Sriboonchitta S. © Springer International Publishing AG 2017. This paper aims to explore the best forecasting model for predicting the Credit Default Swap (CDS) index spreads in emerging markets Asia by comparing the forecasting performance between the multi-regime models. We apply threshold, Markov switching, Markov switching GARCH and simple least squares for structural and autoregressive modeling. Both in- and out-of-sample forecasts are conducted to compare the forecasting performance between models. The results suggest that Markov switching GARCH(1,1) structural model presents the best performance in predicting Asian Credit Default Swap (CDS) index spreads. We also check the preciseness of our selected model by employing the robustness test. 2017-09-28T04:11:13Z 2017-09-28T04:11:13Z Book Series 1860949X 2-s2.0-85012890916 10.1007/978-3-319-50742-2_28 https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85012890916&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/40742
institution Chiang Mai University
building Chiang Mai University Library
country Thailand
collection CMU Intellectual Repository
description © Springer International Publishing AG 2017. This paper aims to explore the best forecasting model for predicting the Credit Default Swap (CDS) index spreads in emerging markets Asia by comparing the forecasting performance between the multi-regime models. We apply threshold, Markov switching, Markov switching GARCH and simple least squares for structural and autoregressive modeling. Both in- and out-of-sample forecasts are conducted to compare the forecasting performance between models. The results suggest that Markov switching GARCH(1,1) structural model presents the best performance in predicting Asian Credit Default Swap (CDS) index spreads. We also check the preciseness of our selected model by employing the robustness test.
format Book Series
author Khiewngamdee C.
Yamaka W.
Sriboonchitta S.
spellingShingle Khiewngamdee C.
Yamaka W.
Sriboonchitta S.
Forecasting Asian credit default swap spreads: A comparison of multi-regime models
author_facet Khiewngamdee C.
Yamaka W.
Sriboonchitta S.
author_sort Khiewngamdee C.
title Forecasting Asian credit default swap spreads: A comparison of multi-regime models
title_short Forecasting Asian credit default swap spreads: A comparison of multi-regime models
title_full Forecasting Asian credit default swap spreads: A comparison of multi-regime models
title_fullStr Forecasting Asian credit default swap spreads: A comparison of multi-regime models
title_full_unstemmed Forecasting Asian credit default swap spreads: A comparison of multi-regime models
title_sort forecasting asian credit default swap spreads: a comparison of multi-regime models
publishDate 2017
url https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85012890916&origin=inward
http://cmuir.cmu.ac.th/jspui/handle/6653943832/40742
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