Abstract
This study investigates the regimes developed in the S&P 200 Energy Index using the Markov regime-switching GARCH model with the asymmetry feature. We also undertake to compare the Markov regime-switching GJR-GARCH model with its single regime counterpart for the Value-at-Risk one-step ahead forecast with the Backtest settings. The results indicate two regimes for the S&P 200 Energy Index with different volatility characteristics. The MS-GJR-GARCH model performs better than the GJR-GARCH model in out-of-sample Value-at-Risk analysis as per the dynamic quantile test. The results are significant for the investors forming their trading strategy based on historical data.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
