We test the presence of regime changes in the GARCH volatility dynamics of Bitcoin log-returns using Markov-switching GARCH (MSGARCH) models. We also compare MSGARCH to traditional single-regime GARCH specifications in predicting one-day ahead …
We perform a large-scale empirical study to compare the forecasting performance of single-regime and Markov-switching GARCH (MSGARCH) models from a risk management perspective. We find that, for daily, weekly, and ten-day equity log-returns, MSGARCH …
Numerical standard error (NSE) is an estimate of the standard deviation of a simulation result if the simulation experiment were to be repeated many times. We review standard methods for computing NSE, and perform a Monte Carlo experiments to compare …
We describe the package MSGARCH, which implements Markov-switching GARCH models in R with efficient C object-oriented programming. Markov-switching GARCH models have become popular methods to account for regime changes in the conditional variance …
We propose a simple methodology to simulate scenarios from a parametric risk model while accounting for stress-test views via fully flexible probabilities (Meucci, 2010, 2013).