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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| Main Authors: | , , |
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| Format: | Book Series |
| Published: |
2019
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| Subjects: | |
| 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 |