Value-at-risk measures for the PSE index using hidden markov models
Authors: Joselito C. Magadia
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.
homogeneous, irreducible, aperiodic Markov Chain