VaR of SSE returns based on Bayesian markov-switching GARCH approach

VaR of SSE returns based on Bayesian markov-switching GARCH approach

© 2019 Association for Computing Machinery. This study compares the accuracy of the single-regime and two-regime Bayesian Markov Switching GARCH models, in the forecasting the Value-at-Risk (VaR) of Shanghai Stock Exchange (SSE). The research addresses the question of whether considering the structu...

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書目詳細資料
Main Authors:	Ruofan Liao, Petchaluck Boonyakunakorn, Songsak Sriboonchiita
格式:	Conference Proceeding
出版:	2020
主題:	Computer Science
在線閱讀:	https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85074852211&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/67712
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