English, Article edition: REGIME-SWITCHED VOLATILITY OF BRENT CRUDE OIL FUTURES WITH MARKOV-SWITCHING ARCH MODEL TIEN-YU CHIU; SHWU-JANE SHIEH

User activity

Share to:
 
Bookmark: http://trove.nla.gov.au/version/18180
Physical Description
  • article
Language
  • English

Edition details

Title
  • REGIME-SWITCHED VOLATILITY OF BRENT CRUDE OIL FUTURES WITH MARKOV-SWITCHING ARCH MODEL
Author
  • TIEN-YU CHIU
  • SHWU-JANE SHIEH
Physical Description
  • article
Notes
  • 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.
  • Markov-switching ARCH, SWARCH, volatility, Brent crude oil
  • RePEc:wsi:ijtafx:v:12:y:2009:i:02:p:113-124
Language
  • English
Contributed by
OAIster

Get this edition

  • Set up My libraries

    How do I set up "My libraries"?

    In order to set up a list of libraries that you have access to, you must first login or sign up. Then set up a personal list of libraries from your profile page by clicking on your user name at the top right of any screen.

  • All (1)
  • Unknown (1)
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.

User activity


e.g. test cricket, Perth (WA), "Parkes, Henry"

Separate different tags with a comma. To include a comma in your tag, surround the tag with double quotes.

Be the first to add a tag for this edition

Be the first to add this to a list

Comments and reviews

What are comments? Add a comment

No user comments or reviews for this version

Add a comment