Regime Switching Volatility Models: Analysis of Turkish Stock Market - Huseyin Senturk - Books - LAP LAMBERT Academic Publishing - 9783838362786 - May 10, 2010
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Huseyin Senturk
Regime Switching Volatility Models: Analysis of Turkish Stock Market

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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.

Media Books     Paperback Book   (Book with soft cover and glued back)
Released May 10, 2010
ISBN13 9783838362786
Publishers LAP LAMBERT Academic Publishing
Pages 100
Dimensions 225 × 6 × 150 mm   ·   167 g
Language German  

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