Год выпуска: 2010 Автор: Mehmet Ali KARADAG and Huseyin SENTURK Издательство: LAP Lambert Academic Publishing Страниц: 100 ISBN: 9783838362786
Описание
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.
