Full Text Available
Note: Clicking the button above will open the full text document at the original institutional repository in a new window.
Volatility forecasting using Double-Markov switching GARCH models under skewed Student-t distribution
Includes bibliographical references.
Saved in:
| Main Author: | |
|---|---|
| Other Authors: | |
| Format: | Thesis |
| Language: | English |
| Published: |
Department of Statistical Sciences
2015
|
| Subjects: | |
| Tags: |
No Tags, Be the first to tag this record!
|
| _version_ | 1867613916243165184 |
|---|---|
| access_status_str | Open Access |
| author | Mazviona, Batsirai Winmore |
| author2 | Clark, Allan |
| author_browse | Clark, Allan Mazviona, Batsirai Winmore |
| author_facet | Clark, Allan Mazviona, Batsirai Winmore |
| author_sort | Mazviona, Batsirai Winmore |
| collection | Thesis |
| description | Includes bibliographical references. |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/12344 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:43:44.884Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2015 |
| publishDateRange | 2015 |
| publishDateSort | 2015 |
| publisher | Department of Statistical Sciences |
| publisherStr | Department of Statistical Sciences |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/12344 Volatility forecasting using Double-Markov switching GARCH models under skewed Student-t distribution Mazviona, Batsirai Winmore Clark, Allan Mathematical Finance Includes bibliographical references. This thesis focuses on forecasting the volatility of daily returns using a double Markov switching GARCH model with a skewed Student-t error distribution. The model was applied to individual shares obtained from the Johannesburg Stock Exchange (JSE). The Bayesian approach which uses Markov Chain Monte Carlo was used to estimate the unknown parameters in the model. The double Markov switching GARCH model was compared to a GARCH(1,1) model. Value at risk thresholds and violations ratios were computed leading to the ranking of the GARCH and double Markov switching GARCH models. The results showed that double Markov switching GARCH model performs similarly to the GARCH model based on the ranking technique employed in this thesis. 2015-02-03T18:30:35Z 2015-02-03T18:30:35Z 2012 Master Thesis Masters MPhil http://hdl.handle.net/11427/12344 eng application/pdf Department of Statistical Sciences Faculty of Science University of Cape Town |
| spellingShingle | Mathematical Finance Mazviona, Batsirai Winmore Volatility forecasting using Double-Markov switching GARCH models under skewed Student-t distribution |
| thesis_degree_str | Master's |
| title | Volatility forecasting using Double-Markov switching GARCH models under skewed Student-t distribution |
| title_full | Volatility forecasting using Double-Markov switching GARCH models under skewed Student-t distribution |
| title_fullStr | Volatility forecasting using Double-Markov switching GARCH models under skewed Student-t distribution |
| title_full_unstemmed | Volatility forecasting using Double-Markov switching GARCH models under skewed Student-t distribution |
| title_short | Volatility forecasting using Double-Markov switching GARCH models under skewed Student-t distribution |
| title_sort | volatility forecasting using double markov switching garch models under skewed student t distribution |
| topic | Mathematical Finance |
| url | http://hdl.handle.net/11427/12344 |
| work_keys_str_mv | AT mazvionabatsiraiwinmore volatilityforecastingusingdoublemarkovswitchinggarchmodelsunderskewedstudenttdistribution |