Rasoul, Sajjad; Jerry, Coakley; C, Nankervis John - In: Studies in Nonlinear Dynamics & Econometrics 12 (2008) 3, pp. 1-31
This paper proposes an asymmetric Markov regime-switching (MS) GARCH model to estimate value-at-risk (VaR) for both long and short positions. This model improves on existing VaR methods by taking into account both regime change and skewness or leverage effects. The performance of our MS model...