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:	Chatchai Khiewngamdee, Woraphon Yamaka, Songsak Sriboonchitta
Format:	Book Series
Published:	2018
Subjects:	Agricultural and Biological Sciences
Online Access:	https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85012890916&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/46688
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Institution:	Chiang Mai University

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spelling	th-cmuir.6653943832-466882018-04-25T07:27:40Z Forecasting Asian credit default swap spreads: A comparison of multi-regime models Chatchai Khiewngamdee Woraphon Yamaka Songsak Sriboonchitta Agricultural and Biological Sciences © 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. 2018-04-25T06:59:31Z 2018-04-25T06:59:31Z 2017-02-01 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/6653943832/46688
institution	Chiang Mai University
building	Chiang Mai University Library
country	Thailand
collection	CMU Intellectual Repository
topic	Agricultural and Biological Sciences
spellingShingle	Agricultural and Biological Sciences Chatchai Khiewngamdee Woraphon Yamaka Songsak Sriboonchitta Forecasting Asian credit default swap spreads: A comparison of multi-regime models
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	Chatchai Khiewngamdee Woraphon Yamaka Songsak Sriboonchitta
author_facet	Chatchai Khiewngamdee Woraphon Yamaka Songsak Sriboonchitta
author_sort	Chatchai Khiewngamdee
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	2018
url	https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85012890916&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/46688
_version_	1681422920858992640

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

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