Browsing by Author Reza, Md Ridwan

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  • Authors: Reza, Md Ridwan (2018)

  • The study employs different types ofrelatively novel Markov regime switching GARCH (MRS-GARCH) models along with standard GARCH to identify better models to forecast the conditional volatility of Dow Jones Islamic Market World Index (DJIM). Several statistical and risk-management-based loss functions are employed to evaluate the out-of-sample volatility and Value-at-Risk (VaR) forecast from these models. Our empirical results show that although there is no single model - either of standard GARCH and MRS-GARCH type - is consistently outperforming the others if both the statistical and the risk-management loss functions are considered, overall different asymmetric Markov regime switchin...

Browsing by Author Reza, Md Ridwan

Jump to: 0-9 A B C D E F G H I J K L M N O P Q R S T U V W X Y Z
or enter first few letters:  
Showing results 1 to 1 of 1
  • item.jpg
  • Master


  • Authors: Reza, Md Ridwan (2018)

  • The study employs different types ofrelatively novel Markov regime switching GARCH (MRS-GARCH) models along with standard GARCH to identify better models to forecast the conditional volatility of Dow Jones Islamic Market World Index (DJIM). Several statistical and risk-management-based loss functions are employed to evaluate the out-of-sample volatility and Value-at-Risk (VaR) forecast from these models. Our empirical results show that although there is no single model - either of standard GARCH and MRS-GARCH type - is consistently outperforming the others if both the statistical and the risk-management loss functions are considered, overall different asymmetric Markov regime switchin...