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    题名: REGIME-SWITCHED VOLATILITY OF BRENT CRUDE OIL FUTURES WITH MARKOV-SWITCHING ARCH MODEL
    作者: 謝淑貞
    CHIU,TIEN-YU;SHIEH,SHWU-JANE
    贡献者: 國貿系
    关键词: Markov-switching ARCH;SWARCH;volatility;Brent crude oil
    日期: 2009
    上传时间: 2014-11-25 11:42:27 (UTC+8)
    摘要: 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.
    關聯: International Journal of Theoretical and Applied Finance,12(2,)113-124
    数据类型: article
    显示于类别:[國際經營與貿易學系 ] 期刊論文

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