Multi-Futures Hedging Strategy Based on Markov Regime-Switching Panel GARCH Model

2016 ◽  
Vol 9 (5) ◽  
pp. 31-46
Author(s):  
Xu Gu
Keyword(s):  
Regime Switching ◽  
Garch Model ◽  
Hedging Strategy ◽  
Markov Regime Switching ◽  
Futures Hedging ◽  
Panel Garch

scholarly journals An Asynchronous Regime Switching GO GARCH Model for Optimal Futures Hedging

2019 ◽  
Vol 24 (3) ◽  
pp. 65-78
Author(s):  
Hsiang-Tai Lee
Keyword(s):  
Regime Switching ◽  
Garch Model ◽  
Futures Hedging

A discussion on the innovation distribution of the Markov regime-switching GARCH model

2016 ◽  
Vol 53 ◽  
pp. 278-288 ◽  
Author(s):  
Yanlin Shi ◽  
Lingbing Feng
Keyword(s):  
Regime Switching ◽  
Garch Model ◽  
Markov Regime Switching

A random coefficient autoregressive Markov regime switching model for dynamic futures hedging

2005 ◽  
Vol 26 (2) ◽  
pp. 103-129 ◽  
Author(s):  
Hsiang-Tai Lee ◽  
Jonathan K. Yoder ◽  
Ron C. Mittelhammer ◽  
Jill J. McCluskey
Keyword(s):  
Regime Switching ◽  
Random Coefficient ◽  
Markov Regime Switching ◽  
Regime Switching Model ◽  
Switching Model ◽  
Futures Hedging ◽  
Markov Regime Switching Model ◽  
Random Coefficient Autoregressive

scholarly journals A dynamic markov regime-switching asymmetric GARCH model and its cumulative impulse response function

2021 ◽  
Vol 16 (1) ◽  
pp. 2537-2559
Author(s):  
Gado SEMA ◽  
Mamadou Abdoulaye Konté ◽  
Abdou Kâ Diongue
Keyword(s):  
Impulse Response ◽  
Financial Market ◽  
Regime Switching ◽  
Impulse Response Function ◽  
Garch Model ◽  
Market Volatility ◽  
Markov Regime Switching ◽  
Proposed Model ◽  
Asymmetric Garch ◽  
Better Than

In this paper, we consider the Markov regime-switching GJR-GARCH(1,1) model to capture both the cumulative impulse response and the asymmetry of the dynamic behavior of financial market volatility in stationary and explosive states. The model can capture regime shifts in volatility between two regimes as well as the asymmetric response to negative and positive shocks. A Monte Carlo simulation is conducted to validate the main theory and find that the regime-switching GJR-GARCH model performs better than the standard GJR-GARCH model. Applications to Brazilian stock market data show that the proposed model performs well in terms of cumulative impulse response.

Hedge ratio on Markov regime-switching diagonal Bekk–Garch model

2018 ◽  
Vol 24 ◽  
pp. 49-55 ◽  
Author(s):  
Yan Zhipeng ◽  
Li Shenghong
Keyword(s):  
Regime Switching ◽  
Garch Model ◽  
Markov Regime Switching ◽  
Hedge Ratio

Discussions on the Zero-drift GARCH model: Evidence from an Markov regime-switching extension

2020 ◽  
pp. 101713
Author(s):  
Lingbing Feng ◽  
Tong Fu ◽  
Yanlin Shi ◽  
Zili Wang
Keyword(s):  
Regime Switching ◽  
Garch Model ◽  
Zero Drift ◽  
Markov Regime Switching ◽  
Model Evidence
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