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Value-at-risk measures for the PSE index using hidden markov models

Year: 2013       Vol.: 62       No.: 1      

Authors: Joselito C. Magadia

Abstract:

VaR measures for the PSE index are estimated using an m-state normal-hidden Markov model. The estimation procedure will be done under an unconditional approach and a conditional approach. Backtesting will be done to assess how well the estimates performed.

Keywords: homogeneous, irreducible, aperiodic Markov Chain

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