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

• المؤلفون الرئيسيون: Mingyang Li, Ruofan Liao, Songsak Sriboonchitta
• التنسيق: وقائع المؤتمر
• منشور في: 2020
• الموضوعات: Physics and Astronomy
• الوصول للمادة أونلاين: https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85090499712&origin=inward; http://cmuir.cmu.ac.th/jspui/handle/6653943832/71031

© 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...