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Applied Economics Letters Volume 11, 2004 - Issue 11
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Original Articles

Estimating value-at-risk via Markov switching ARCH models – an empirical study on stock index returns

Ming-Yuan Leon Li *
&
Hsiou-wei William Lin Department of International Business, National Chi Nan University, Taiwan
Pages 679-691 | Published online: 21 Aug 2006

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Doojin Ryu, Robert I. Webb & Jinyoung Yu. (2022) Liquidity-adjusted value-at-risk: a comprehensive extension with microstructural liquidity components. The European Journal of Finance 28:9, pages 871-888.
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Emrah İ. Çevik, Turhan Korkmaz & Erdal Atukeren. (2012) Business confidence and stock returns in the USA: a time-varying Markov regime-switching model. Applied Financial Economics 22:4, pages 299-312.
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Y. C. Su, H. C. Huang & Y. J. Lin. (2011) GJR-GARCH model in value-at-risk of financial holdings. Applied Financial Economics 21:24, pages 1819-1829.
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Kuang-Liang Chang. (2011) The optimal value-at-risk hedging strategy under bivariate regime switching ARCH framework. Applied Economics 43:21, pages 2627-2640.
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Ming-Yuan Leon Li. (2010) Dynamic hedge ratio for stock index futures: application of threshold VECM. Applied Economics 42:11, pages 1403-1417.
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Ming-Yuan Leon Li. (2009) Multiple asymmetries in index stock returns from boom/bust and stable/volatile markets states- an empirical study of US and UK stock markets. Applied Economics Letters 16:2, pages 183-191.
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Yuan-Hung Hsu Ku & Jai Jen Wang. (2008) Estimating portfolio value-at-risk via dynamic conditional correlation MGARCH model – an empirical study on foreign exchange rates. Applied Economics Letters 15:7, pages 533-538.
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Eduardo D. Roca & Victor S. H. Wong. (2008) An analysis of the sensitivity of Australian superannuation funds to market movements: a Markov regime switching approach. Applied Financial Economics 18:7, pages 583-597.
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Timotheos Angelidis & Alexandros Benos. (2006) Liquidity adjusted value-at-risk based on the components of the bid-ask spread. Applied Financial Economics 16:11, pages 835-851.
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John Cotter. (2005) Extreme risk in futures contracts. Applied Economics Letters 12:8, pages 489-492.
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Carlos C. Bautista. (2005) How volatile are East Asian stocks during high volatility periods?. Applied Economics Letters 12:5, pages 319-326.
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Javier Ojea Ferreiro. (2020) Disentangling the role of the exchange rate in oil-related scenarios for the European stock market. Energy Economics 89, pages 104776.
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Hooman Abdollahi. (2020) A novel hybrid model for forecasting crude oil price based on time series decomposition. Applied Energy 267, pages 115035.
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Audronė Virbickaitė & Hedibert F. Lopes. (2019) Bayesian semiparametric Markov switching stochastic volatility model. Applied Stochastic Models in Business and Industry 35:4, pages 978-997.
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Raj S. DhankarRaj S. Dhankar. 2019. Risk-Return Relationship and Portfolio Management. Risk-Return Relationship and Portfolio Management 279 291 .
Apoorv Gupta & Prabina Rajib. (2018) Do VaR exceptions have seasonality? An empirical study on Indian commodity spot prices. IIMB Management Review 30:4, pages 369-384.
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Humberto Valencia-HerreraFrancisco López-Herrera. (2018) Markov Switching International Capital Asset Pricing Model, an Emerging Market Case: Mexico. Journal of Emerging Market Finance 17:1, pages 96-129.
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Salim Ben Sassi & Azza Bejaoui. 2018. Fractal Approaches for Modeling Financial Assets and Predicting Crises. Fractal Approaches for Modeling Financial Assets and Predicting Crises 42 62 .
Panos Pouliasis, Ioannis Kyriakou & Nikos Papapostolou. (2017) On equity risk prediction and tail spillovers. International Journal of Finance & Economics 22:4, pages 379-393.
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Mehdi Zolfaghari & Bahram Sahabi. (2017) Impact of foreign exchange rate on oil companies risk in stock market: A Markov-switching approach. Journal of Computational and Applied Mathematics 317, pages 274-289.
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Lu Liu. (2014) Extreme downside risk spillover from the United States and Japan to Asia-Pacific stock markets. International Review of Financial Analysis 33, pages 39-48.
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Pilar Abad, Sonia Benito & Carmen López. (2014) A comprehensive review of Value at Risk methodologies. The Spanish Review of Financial Economics 12:1, pages 15-32.
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Lin Gao & Lu Liu. (2014) The Volatility Behavior and Dependence Structure of Commodity Futures and Stocks. Journal of Futures Markets 34:1, pages 93-101.
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Emrah İsmail Çevik, Erdal Atukeren & Turhan Korkmaz. (2012) Nonlinearity and nonstationarity in international art market prices: evidence from Markov-switching ADF unit root tests. Empirical Economics 45:2, pages 675-695.
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Atilla Cifter. (2013) Forecasting electricity price volatility with the Markov-switching GARCH model: Evidence from the Nordic electric power market. Electric Power Systems Research 102, pages 61-67.
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Samuel Y. M. Ze-To. (2012) Crisis, Value at Risk and Conditional Extreme Value Theory via the NIG + Jump Model. Journal of Mathematical Finance 02:03, pages 225-237.
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Nikos K. Nomikos & Panos K. Pouliasis. (2011) Forecasting petroleum futures markets volatility: The role of regimes and market conditions. Energy Economics 33:2, pages 321-337.
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Kuang-Liang Chang. (2010) House price dynamics, conditional higher-order moments, and density forecasts. Economic Modelling 27:5, pages 1029-1039.
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Evdokia Xekalaki & Stavros Degiannakis. 2010. ARCH Models for Financial Applications. ARCH Models for Financial Applications 479 520 .
Ming-Yuan Leon Li. (2009) Could the jump diffusion technique enhance the effectiveness of futures hedging models?. Mathematics and Computers in Simulation 79:10, pages 3076-3088.
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Chang‐Shian Chen, Chin‐Hui Liu & Hui‐Chen Su. (2008) A nonlinear time series analysis using two‐stage genetic algorithms for streamflow forecasting. Hydrological Processes 22:18, pages 3697-3711.
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Yau Man Ze‐to Samuel. (2007) Value at risk and conditional extreme value theory via markov regime switching models. Journal of Futures Markets 28:2, pages 155-181.
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Timotheos Angelidis & Stavros Antonios Degiannakis. (2005) Volatility Forecasting: The Illusion of Choosing One Model in All Cases. SSRN Electronic Journal.
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Blazej Mazur & Mateusz Pipien. (2012) On the Empirical Importance of Periodicity In the Volatility of Financial Time Series. SSRN Electronic Journal.
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Lin Gao & Lu Liu. (2011) Volatility Behavior and Structure of Dependence between Commodity Futures and Stocks. SSRN Electronic Journal.
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