Value at risk of the stock market in asean-5

© Springer Nature Switzerland AG 2019. This paper analyzes the Value at Risk (VaR) of ASEAN-5 stock market indexes by employing Bayesian MSGARCH models. The estimated MSGARCH models with two-regime results show that the two regimes have different unconditional volatility levels and volatility persis...

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Bibliographic Details
Main Authors: Petchaluck Boonyakunakorn, Pathairat Pastpipatkul, Songsak Sriboonchitta
Format: Book Series
Published: 2019
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Online Access:https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85065608077&origin=inward
http://cmuir.cmu.ac.th/jspui/handle/6653943832/65532
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Institution: Chiang Mai University