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Dissertations / Theses on the topic 'Markov Regime Switching GARCH models'

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Published: 4 June 2021
Last updated: 13 February 2022

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1

Karadag, Mehmet Ali. "Analysis Of Turkish Stock Market With Markov Regime Switching Volatility Models." Master's thesis, METU, 2008. http://etd.lib.metu.edu.tr/upload/3/12609787/index.pdf.

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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. We investigate various models 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, we apply Superior Predictive Ability (SPA) test of Hansen (2005) and Reality Check test (RC) of White (2000) to compare forecast performance of various models.
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2

Duran, William Gonzalo Rojas. "Modelo GARCH com mudança de regime markoviano para séries financeiras." Universidade de São Paulo, 2014. http://www.teses.usp.br/teses/disponiveis/45/45133/tde-02072014-122143/.

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Neste trabalho analisaremos a utilização dos modelos de mudança de regime markoviano para a variância condicional. Estes modelos podem estimar de maneira fácil e inteligente a variância condicional não observada em função da variância anterior e do regime. Isso porque, é razoável ter coeficientes variando no tempo dependendo do regime correspondentes à persistência da variância (variância anterior) e às inovações. A noção de que uma série econômica possa ter alguma variação na sua estrutura é antiga para os economistas. Marcucci (2005) comparou diferentes modelos com e sem mudança de regime em
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3

Lin, Gang. "Nesting regime-switching GARCH models and stock market volatility, returns and the business cycle /." Diss., Connect to a 24 p. preview or request complete full text in PDF format. Access restricted to UC campuses, 1998. http://wwwlib.umi.com/cr/ucsd/fullcit?p9906497.

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4

Sajjad, Rasoul. "Value-at-risk in a Markov regime-switching GARCH framework." Thesis, University of Essex, 2007. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.438117.

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5

Koh, You Beng, and 辜有明. "Bayesian analysis in Markov regime-switching models." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2012. http://hub.hku.hk/bib/B48521644.

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van Norden and Schaller (1996) develop a standard regime-switching model to study stock market crashes. In their seminal paper, they use the maximum likelihood estimation to estimate the model parameters and show that a two-regime speculative bubble model has significant explanatory power for stock market returns in some observed periods. However, it is well known that the maximum likelihood estimation can lead to bias if the model contains multiple local maximum points or the estimation starts with poor initial values. Therefore, a better approach to estimate the parameters in the regime-swi
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6

Spagnolo, Fabio. "Nonlinear error-correction models with regime switching." Thesis, Birkbeck (University of London), 2001. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.368915.

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7

Chen, Ping. "Asset-liability management under regime-switching models." Click to view the E-thesis via HKUTO, 2009. http://sunzi.lib.hku.hk/hkuto/record/B43223928.

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8

Zhu, Jinxia. "Ruin theory under Markovian regime-switching risk models." Click to view the E-thesis via HKUTO, 2008. http://sunzi.lib.hku.hk/hkuto/record/b40203980.

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9

Chen, Ping, and 陈平. "Asset-liability management under regime-switching models." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2009. http://hub.hku.hk/bib/B43223928.

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10

Zhu, Jinxia, and 朱金霞. "Ruin theory under Markovian regime-switching risk models." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2008. http://hub.hku.hk/bib/B40203980.

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11

Mazviona, Batsirai Winmore. "Volatility forecasting using Double-Markov switching GARCH models under skewed Student-t distribution." Master's thesis, University of Cape Town, 2012. http://hdl.handle.net/11427/12344.

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Includes bibliographical references.<br>This thesis focuses on forecasting the volatility of daily returns using a double Markov switching GARCH model with a skewed Student-t error distribution. The model was applied to individual shares obtained from the Johannesburg Stock Exchange (JSE). The Bayesian approach which uses Markov Chain Monte Carlo was used to estimate the unknown parameters in the model. The double Markov switching GARCH model was compared to a GARCH(1,1) model. Value at risk thresholds and violations ratios were computed leading to the ranking of the GARCH and double Markov sw
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12

Xie, Yingfu. "Maximum likelihood estimation and forecasting for GARCH, Markov switching, and locally stationary wavelet processes /." Umeå : Dept. of Forest Economics, Swedish University of Agricultural Sciences, 2007. http://epsilon.slu.se/2007107.pdf.

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13

Ataurima, Arellano Miguel. "Empirical modelling of latin american stock markets returns and volatility using Markov - Switching garch models." Master's thesis, Pontificia Universidad Católica del Perú, 2016. http://tesis.pucp.edu.pe/repositorio/handle/123456789/8096.

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Using a sample of weekly frequency of the stock markets returns series, we estimate a set of Markov-Switching-Generalized Autoregressive Conditional Heterocedastic- ity (MS-GARCH) models to a set of Latin American countries (Argentina, Brazil, Chile, Colombia, Mexico and Peru) with an approach based on both the Monte Carlo Expectation-Maximization (MCEM) and Monte Carlo Maximum Likelihood (MCML) algorithms suggested by Augustyniak (2014). The estimates are compared with a stan- dard GARCH, MS and other models. The results show that the volatility persistence is captured di¤erently in th
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14

Cheung, Ka-chun, and 張家俊. "Optimal asset allocation problems under the discrete-time regime-switching model." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2005. http://hub.hku.hk/bib/B31311234.

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15

Wu, Yanan. "ON THE PREDICTIVE PERFORMANCE OF THE STOCK RETURNS BY USING THE MARKOV-SWITCHING MODELS." Thesis, Uppsala universitet, Statistiska institutionen, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-412930.

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This paper proposes the basic predictive regression and Markov Regime-Switching regression to predict the excess stock returns in both US and Sweden stock markets. The analysis shows that the Markov Regime-Switching regression models out perform the linear ones in out-of-sample forecasting, which is due to the fact that the regime-switching models capture the economic expansion and recession better.
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16

Spungin, Giles Edmund. "Essays on applications of Markov regime switching and time-varying volatility models in finance and macroeconomics." Thesis, Queen Mary, University of London, 2007. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.497250.

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17

Andersson, Sebastian. "On the Specification of Local Models in a Global Vector Autoregression: A Comparison of Markov-Switching Alternatives." Thesis, Uppsala universitet, Statistiska institutionen, 2014. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-226918.

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In this paper, focus is on the global vector autoregressive (GVAR) model. Its attractiveness stems from an ability to incorporate global interdependencies when modeling local economies. The model is based on a collection of local models, which in general are estimated as regular VAR models. This paper examines alternative specifications of the local models by estimating them as regime-switching VAR models, where transition probabilities between different states are studied using both constant and time-varying settings. The results show that regime-switching models are appealing as they yield i
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18

Tillmann, Peter. "Uncertainty and the stability of financial markets in open economies : empirical evidence from regime-switching models /." Aachen : Shaker, 2003. http://www.gbv.de/dms/zbw/369153375.pdf.

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19

Dias, Gustavo Fruet. "Uma estimativa da taxa de câmbio real com mudança de regime markoviano : uma análise para o Brasil 1994 a 2005." reponame:Biblioteca Digital de Teses e Dissertações da UFRGS, 2006. http://hdl.handle.net/10183/8785.

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A presente dissertação de conclusão de mestrado tem por objetivo contribuir com a literatura existente que versa acerca da estimação da Taxa de Câmbio Real (RER) através de fundamentos econômicos. O objetivo deste trabalho é utilizar o instrumental teórico de modelos com mudança de regime (Markov Switching) aplicado sobre os fundamentos que determinam a RER em um modelo de Cointegração. O modelo teórico utilizado para a estimação foi o proposto por Montiel (1999), modelo este que é mais indicado para países em desenvolvimento, para o período de 1994 até 2005. Os resultados obtidos na estimação
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20

Varanda, Patrícia Alexandra Pereira Henriques. "Modelos com Alteração de Regime: Uma Aplicação Empírica à Taxa de Juro." Master's thesis, Instituto Superior de Economia e Gestão, 2011. http://hdl.handle.net/10400.5/3174.

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Mestrado em Econometria Aplicada e Previsão<br>Este trabalho analisa empiricamente o desempenho de vários modelos lineares na média condicional (ou seja, de um regime) por comparação com modelos que assumem alterações de regime, do tipo Markov de ordem um. Em termos de variância condicional acomodam-se várias hipóteses, como a dependência do nível da taxa de juro, de efeitos GARCH ou dos dois factores em simultâneo. A variável em estudo é a taxa de juro nominal a 10 anos da Alemanha. A evidência encontrada foi no sentido de que quer a presença de efeitos GARCH, quer a possibilidade de alteraçã
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21

Seerattan, Dave Arnold. "The effectiveness of central bank interventions in the foreign exchange market." Thesis, Brunel University, 2012. http://bura.brunel.ac.uk/handle/2438/7361.

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The global foreign exchange market is the largest financial market with turnover in this market often outstripping the GDP of countries in which they are located. The dynamics in the foreign exchange market, especially price dynamics, have huge implications for financial asset values, financial returns and volatility in the international financial system. It is therefore an important area of study. Exchange rates have often departed significantly from the level implied by fundamentals and exhibit excessive volatility. This reality creates a role for central bank intervention in this market to
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22

Rotta, Pedro Nielsen. "Análise de contágio a partir do modelo de correlação condicional constante com mudança de regime Markoviana." reponame:Repositório Institucional do FGV, 2012. http://hdl.handle.net/10438/10402.

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Submitted by Pedro Nielsen Rotta (pedro.rotta@gvmail.br) on 2013-01-17T01:23:43Z No. of bitstreams: 1 Dissertação_MPE_Pedro_Nielsen_Rotta.pdf: 1289831 bytes, checksum: e326f8c88be4c40b8581a8dd53dc83a3 (MD5)<br>Approved for entry into archive by Eliene Soares da Silva (eliene.silva@fgv.br) on 2013-01-17T15:46:21Z (GMT) No. of bitstreams: 1 Dissertação_MPE_Pedro_Nielsen_Rotta.pdf: 1289831 bytes, checksum: e326f8c88be4c40b8581a8dd53dc83a3 (MD5)<br>Made available in DSpace on 2013-01-17T16:11:12Z (GMT). No. of bitstreams: 1 Dissertação_MPE_Pedro_Nielsen_Rotta.pdf: 1289831 bytes, checksum: e326
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23

Chuffart, Thomas. "Problèmes de choix de modèles dans la volatilité conditionnelle." Thesis, Aix-Marseille, 2016. http://www.theses.fr/2016AIXM2022.

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Cette thèse de doctorat composée de trois chapitres contribue au développement de la problématique sur la sélection de modèle de volatilité de type GARCH. Le premier chapitre propose une étude de simulation sur la sélection de modèles dans le cadre spécifique des modèles à changement de régimes. On propose des expériences de simulation permettant de mettre en évidence l'inefficacité des critères de sélection usuels dans des cas particuliers, ce qui peut conduire à des erreurs de spécification lors du choix de modèle. Le deuxième chapitre propose un test du multiplicateur de Lagrange de mauvais
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24

Haykal, Vanessa. "Modélisation des séries temporelles par apprentissage profond." Thesis, Tours, 2019. http://www.theses.fr/2019TOUR4019.

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La prévision des séries temporelles est un problème qui est traité depuis de nombreuses années. Dans cette thèse, on s’est intéressé aux méthodes issues de l’apprentissage profond. Il est bien connu que si les relations entre les données sont temporelles, il est difficile de les analyser et de les prévoir avec précision en raison des tendances non linéaires et du bruit présent, spécifiquement pour les séries financières et électriques. A partir de ce contexte, nous proposons une nouvelle architecture de réduction de bruit qui modélise des séries d’erreurs récursives pour améliorer les prévisions.
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25

Mazibas, Murat. "Dynamic portfolio construction and portfolio risk measurement." Thesis, University of Exeter, 2011. http://hdl.handle.net/10036/3297.

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The research presented in this thesis addresses different aspects of dynamic portfolio construction and portfolio risk measurement. It brings the research on dynamic portfolio optimization, replicating portfolio construction, dynamic portfolio risk measurement and volatility forecast together. The overall aim of this research is threefold. First, it is aimed to examine the portfolio construction and risk measurement performance of a broad set of volatility forecast and portfolio optimization model. Second, in an effort to improve their forecast accuracy and portfolio construction performance,
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26

Ivaschenko, Iryna. "Essays on corporate risk, U.S. business cycles, international spillovers of stock returns, and dual listing." Doctoral thesis, Stockholm : Economic Research Institute, Stockholm School of Economics (EFI), 2003. http://www.hhs.se/efi/summary/625.htm.

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27

Chen, Lu Yen, and 陳律延. "Markov Regime-Switching Asymmetric GARCH model and Evaluation of TXO." Thesis, 2008. http://ndltd.ncl.edu.tw/handle/00878642324285446502.

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碩士<br>長庚大學<br>企業管理研究所<br>97<br>In this paper we compare the classic Generalized Autoregressive Conditional Heteroscedasticity models with the ones linked Markov Regime switching model together in terms of their goodness of fit of TAIEX and forecastability of price of TXO by B-S model. Not only normal but also fat-tailed leptokurtic conditional distributions for the innovations are assumed, and the degrees of freedom can switch between the different regimes to draw time-varying kurtosis. The goodness of fit of the competing models are evaluated with the value of maximum likelihood function, AIC
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28

Chen, Yan-Siang, and 陳彥翔. "Estimating Value at Risk on Foreign Currency—An Application of Markov Regime Switching GARCH Model." Thesis, 2018. http://ndltd.ncl.edu.tw/handle/mwmeve.

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碩士<br>國立交通大學<br>財務金融研究所<br>106<br>In this paper our target asset is the exchange rate of British pounds per U.S. dollar (GBP/USD) and Taiwan dollars per U.S. dollar (TWD/USD) from 1997 to 2017. We build suitable models respectively for the two assets based on their characteristics and use these models to estimate Vale at Risk. The models we consider include GARCH model, Markov regime switching model, and Markov regime switching GARCH model, which is based on Haas et al. (2004). Differed from Haas et al. (2004), our Markov regime switching GARCH model allows both the conditional mean and condit
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29

Liao, Li-na, and 廖麗娜. "Double Markov Switching GARCH Models." Thesis, 2006. http://ndltd.ncl.edu.tw/handle/37885659092168474199.

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碩士<br>逢甲大學<br>統計與精算所<br>94<br>In this paper we consider a double Markov switching GARCH model with fat-tailed error distribution for analyzing asymmetric effects on mean and volatility in financial markets. The characteristic of our model is that a regime variable from one state to another is an unobserved variable which is assumed to be a first-order Markov process. We use Markov chain Monte Carlo methods to make statistical inference. In simulation study, we set sensitivity analysis for transition probabilities and then compare these results. As to empirical study, we apply for our DMS-GARCH
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30

Ye, Lingyun. "MARKOV REGIME-SWITCHING MODELS." 2012. http://hdl.handle.net/10222/15126.

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A regime-switching model is a time-series model in which parameters change values according to the regime at present time. While regime-switching models have been very popular in applied work, there is a lack of literature for simulation studies. New methods based on regime-switching models are often proposed with neither a proof of convergence nor simulations to demonstrate their basic properties. In this thesis, a detailed simulation study of regime-switching models is conducted. A strategy to generate initial search values in the parameter estimation of regime-switching models is proposed.
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31

張庭瑋. "GARCH models under Regime Switching - DJ EURO STOXX OIL & GAS Index Futures." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/87022750073666320934.

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32

Hua, Yi. "Optimization of investment and consumption strategies using hidden Markov and regime switching models." 2009. http://hdl.handle.net/1993/21498.

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33

Li, Hsun-Chiang, and 李訓強. "Market and Behavioral Factors on Stock Returns-The Application of Markov Regime-Switching Models." Thesis, 2011. http://ndltd.ncl.edu.tw/handle/69721075326478656529.

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碩士<br>國立中山大學<br>財務管理學系研究所<br>99<br>In this paper, we use a Fama-French model and Markov regime-switching model to capture time series behavior of many financial variable. Alternatively, classification by cluster analysis help to learn the different characteristics of the sample between stock returns and risk factors. This empirical result shows that the excess return in the low volatility state tends to be greater than that in the high volatility state. The stock returns in each regime have a higher probability of remaining in their original state, especilly in low volatility state. This artic
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34

Banerjee, Tamal. "Analyzing Credit Risk Models In A Regime Switching Market." Thesis, 2012. http://etd.iisc.ernet.in/handle/2005/2517.

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Recently, the financial world witnessed a series of major defaults by several institutions and investment banks. Therefore, it is not at all surprising that credit risk analysis have turned out to be one of the most important aspect among the finance community. As credit derivatives are long term instruments, it is affected by the changes in the market conditions. Thus, it is a appropriate to take into consideration the effects of the market economy. This thesis addresses some of the important issues in credit risk analysis in a regime switching market. The main contribution in this thesis are
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35

Till, Matthew Charles. "Actuarial Inference and Applications of Hidden Markov Models." Thesis, 2011. http://hdl.handle.net/10012/6094.

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Hidden Markov models have become a popular tool for modeling long-term investment guarantees. Many different variations of hidden Markov models have been proposed over the past decades for modeling indexes such as the S&P 500, and they capture the tail risk inherent in the market to varying degrees. However, goodness-of-fit testing, such as residual-based testing, for hidden Markov models is a relatively undeveloped area of research. This work focuses on hidden Markov model assessment, and develops a stochastic approach to deriving a residual set that is ideal for standard residual tests. This
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36

Zhuo, Fan. "Essays on regime switching and DSGE models with applications to U.S. business cycle." Thesis, 2016. https://hdl.handle.net/2144/19564.

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This dissertation studies various issues related to regime switching and DSGE models. The methods developed are used to study U.S. business cycles. Chapter one considers and derives the limit distributions of likelihood ratio based tests for Markov regime switching in multiple parameters in the context of a general class of nonlinear models. The analysis simultaneously addresses three difficulties: (1) some nuisance parameters are unidentified under the null hypothesis, (2) the null hypothesis yields a local optimum, and (3) the conditional regime probabilities follow stochastic processes t
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37

Videlefsky, Daryn Michael. "Investigating emerging market economies Reverse REIT-Bond Yield Gap anomalies: a case for tactical asset allocation under the multivariate Markov regime switching model." Thesis, 2017. http://hdl.handle.net/10539/23698.

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Submitted in partial fulfilment of the requirements for the degree of Masters of Management in Finance and Investments In the Faculty of Commerce, Law and Management University of the Witwatersrand, Wits Business School, 2016<br>This paper presents a first time application of a variant of the concepts underpinning the Fed Model, amalgamated with the Bond-Stock Earnings Yield Differential, by applying it to the dividend yields of REIT indices. This modification is termed the yield gap, quantitatively constructed and adapted in this paper as the Reverse REIT-Bond Yield Gap. This metric is then u
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38

Mergner, Sascha. "Applications of Advanced Time Series Models to Analyze the Time-varying Relationship between Macroeconomics, Fundamentals and Pan-European Industry Portfolios." Doctoral thesis, 2008. http://hdl.handle.net/11858/00-1735-0000-000D-F159-E.

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39

Royden-Turner, Stuart Jack. "Asset allocation in wealth management using stochastic models." Diss., 2016. http://hdl.handle.net/10500/22129.

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Modern financial asset pricing theory is a broad, and at times, complex field. The literature review in this study covers many of the asset pricing techniques including factor models, random walk models, correlation models, Bayesian methods, autoregressive models, moment-matching models, stochastic jumps and mean reversion models. An important topic in finance is portfolio opti-misation with respect to risk and reward such as the mean variance optimisation introduced by Markowitz (1952). This study covers optimisation techniques such as single period mean variance optimisation, optimisation w
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