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Regime Switching Volatility Models: Analysis of Turkish Stock Market Huseyin Senturk
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Regime Switching Volatility Models: Analysis of Turkish Stock Market
Huseyin Senturk
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.
| Mediji | Grāmatas Paperback Book (Grāmata ar mīksto vāku un līmēto muguru) |
| Izlaists | 2010. gada 10. maijs |
| ISBN13 | 9783838362786 |
| Izdevēji | LAP LAMBERT Academic Publishing |
| Lapas | 100 |
| Izmēri | 225 × 6 × 150 mm · 167 g |
| Valoda | Vācu |
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