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Regime Switching Volatility Models


Marketed By :  LAP LAMBERT Academic Publishing   Sold By :  Kamal Books International  
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  • Product Description

In this study, both uni-regime GARCH and Markov Regime Switching GARCH (SW-GARCH) models are examined to analyze Turkish Stock Market volatility. Various models are investigated to find out whether SW-GARCH models are an improvement on the uni-regime GARCH models in terms of modelling and forecasting Turkish Stock Market volatility. As well as using seven statistical loss functions, Superior Predictive Ability (SPA) test of Hansen (2005) and Reality Check test (RC) of White (2000) are applied to compare forecast performance of models.

Product Specifications
SKU :COC22197
AuthorMehmet Ali KARADAG and Huseyin SENTURK
Number of Pages100
Publishing Year2010-10-05T00:00:00.000
Edition1 st
Book TypeEconomics
Country of ManufactureIndia
Product BrandLAP LAMBERT Academic Publishing
Product Packaging InfoBox
In The Box1 Piece
Product First Available On ClickOnCare.com2015-07-28 00:00:00