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

• المؤلفون الرئيسيون: Ruofan Liao, Petchaluck Boonyakunakorn, Songsak Sriboonchiita
• التنسيق: وقائع المؤتمر
• منشور في: 2020
• الموضوعات: Computer Science
• الوصول للمادة أونلاين: https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85074852211&origin=inward; http://cmuir.cmu.ac.th/jspui/handle/6653943832/67712
• المؤسسة: Chiang Mai University

© 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...