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Regime Switching Volatility Models: Analysis of Turkish Stock Market - Softcover

KARADAG, Mehmet Ali; SENTURK, Huseyin

 
9783838362786: Regime Switching Volatility Models: Analysis of Turkish Stock Market
Softcover
ISBN 10: 3838362780 ISBN 13: 9783838362786
Verlag: LAP LAMBERT Academic Publishing, 2010

Inhaltsangabe

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.

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Über die Autorin bzw. den Autor

Mehmet Ali KARADAG, B.S. Statistics, M.S. Financial Mathematics at Middle East Technical University. Expert at Turkish Statistical Institute, Ankara. Huseyin SENTURK, B.S. Statistics, M.S. Financial Mathematics at Middle East Technical University. Expert at Turkish Statistical Institute, Ankara

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Verlag
LAP LAMBERT Academic Publishing
Erscheinungsdatum
2010
Sprache
Englisch
ISBN 10 
3838362780
ISBN 13 
9783838362786
Einband
Taschenbuch
Anzahl der Seiten
100
Kontakt zum Hersteller
Nicht verfügbar
Verantwortliche Person
SIA OmniScriptum Publishing
customerservice@vdm-vsg.de

Brivibas gatve 197
Riga
1039
Lettland