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What is Markov-Switching GARCH for Value-at-Risk about?

This document summarizes a research paper that proposes using an asymmetric Markov regime-switching GARCH model to estimate value-at-risk for both long and short trading positions. The model accounts for both regime changes and leverage effects in returns data. The performance of the Markov switching model and single-regime models is compared using backtesting on stock index data from the UK and US. The results show the Markov switching model outperforms other models in estimating value-at-risk for long and

Author

gado sema

Language

EN