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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| Main Authors: | , , |
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| Format: | Conference Proceeding |
| Published: |
2020
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| Subjects: | |
| Online Access: | 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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| Institution: | Chiang Mai University |
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