Value at risk of the exchange rate in southeast ASEAN-3 based on bayesian Markov-switching GARCH approach

Value at risk of the exchange rate in southeast ASEAN-3 based on bayesian Markov-switching GARCH approach

© Published under licence by IOP Publishing Ltd. This study analyzes Bayesian Markov-Switching of the single regime and the two regimes to forecast the risk of the exchange rate in three ASEAN countries, and various GARCH family and distribution are selected by DIC to find the best fitting models. T...

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Main Authors: Mingyang Li, Ruofan Liao, Songsak Sriboonchitta
Format: Conference Proceeding
Published: 2020
Subjects:
Physics and Astronomy
Online Access:https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85090499712&origin=inward
http://cmuir.cmu.ac.th/jspui/handle/6653943832/71031
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Institution: Chiang Mai University
id th-cmuir.6653943832-71031
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spelling th-cmuir.6653943832-710312020-10-14T08:48:55Z Value at risk of the exchange rate in southeast ASEAN-3 based on bayesian Markov-switching GARCH approach Mingyang Li Ruofan Liao Songsak Sriboonchitta Physics and Astronomy © Published under licence by IOP Publishing Ltd. This study analyzes Bayesian Markov-Switching of the single regime and the two regimes to forecast the risk of the exchange rate in three ASEAN countries, and various GARCH family and distribution are selected by DIC to find the best fitting models. This study will help governments to prevent the recurrence of events like the 1997 financial crisis. The study finds that Thailand has the best exchange rate stability and the lowest risk and is most suitable for foreign investors seeking stability. 2020-10-14T08:48:55Z 2020-10-14T08:48:55Z 2020-08-21 Conference Proceeding 17426596 17426588 2-s2.0-85090499712 10.1088/1742-6596/1616/1/012070 https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85090499712&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/71031
institution Chiang Mai University
building Chiang Mai University Library
continent Asia
country Thailand
Thailand
content_provider Chiang Mai University Library
collection CMU Intellectual Repository
topic Physics and Astronomy
spellingShingle Physics and Astronomy
Mingyang Li
Ruofan Liao
Songsak Sriboonchitta
Value at risk of the exchange rate in southeast ASEAN-3 based on bayesian Markov-switching GARCH approach
description © Published under licence by IOP Publishing Ltd. This study analyzes Bayesian Markov-Switching of the single regime and the two regimes to forecast the risk of the exchange rate in three ASEAN countries, and various GARCH family and distribution are selected by DIC to find the best fitting models. This study will help governments to prevent the recurrence of events like the 1997 financial crisis. The study finds that Thailand has the best exchange rate stability and the lowest risk and is most suitable for foreign investors seeking stability.
format Conference Proceeding
author Mingyang Li
Ruofan Liao
Songsak Sriboonchitta
author_facet Mingyang Li
Ruofan Liao
Songsak Sriboonchitta
author_sort Mingyang Li
title Value at risk of the exchange rate in southeast ASEAN-3 based on bayesian Markov-switching GARCH approach
title_short Value at risk of the exchange rate in southeast ASEAN-3 based on bayesian Markov-switching GARCH approach
title_full Value at risk of the exchange rate in southeast ASEAN-3 based on bayesian Markov-switching GARCH approach
title_fullStr Value at risk of the exchange rate in southeast ASEAN-3 based on bayesian Markov-switching GARCH approach
title_full_unstemmed Value at risk of the exchange rate in southeast ASEAN-3 based on bayesian Markov-switching GARCH approach
title_sort value at risk of the exchange rate in southeast asean-3 based on bayesian markov-switching garch approach
publishDate 2020
url https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85090499712&origin=inward
http://cmuir.cmu.ac.th/jspui/handle/6653943832/71031
_version_ 1681753010786533376

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