Value-at-Risk

Regime Changes in Bitcoin GARCH Volatility Dynamics

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 …

Forecasting Risk with Markov-Switching GARCH Models: A Large-Scale Performance Study

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 …