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政大典藏 > College of Commerce > Department of International Business > Periodical Articles > Item 140.119/71658

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/71658

Title:	REGIME-SWITCHED VOLATILITY OF BRENT CRUDE OIL FUTURES WITH MARKOV-SWITCHING ARCH MODEL
Authors:	謝淑貞 CHIU,TIEN-YU;SHIEH,SHWU-JANE
Contributors:	國貿系
Keywords:	Markov-switching ARCH;SWARCH;volatility;Brent crude oil
Date:	2009
Issue Date:	2014-11-25 11:42:27 (UTC+8)
Abstract:	This paper investigates the volatility process of the Brent crude oil futures markets using Markov-switching ARCH (SWARCH) model. The SWARCH model allows the conditional disturbances to change as time passes and even to switch in different regimes. The empirical evidence shows that the SWARCH (3,3) model performs the best goodness of fit and the best forecast performance among different fitting models. The estimation of smoothing probabilities of data under different regimes facilitates to capture the characteristics of the data, and the high-volatility regime is associated with some extraordinary events, such as the 1990`s Persian Gulf War, the 1997`s Asia Financial Crisis, and the 2001`s 911 terrorist attack.
Relation:	International Journal of Theoretical and Applied Finance,12(2,)113-124
Data Type:	article
Appears in Collections:	[Department of International Business] Periodical Articles

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