Purpose – The purpose of this paper is to apply alternative GARCH-type models to daily volatility forecasting, and apply Value-at-Risk (VaR) to the Taiwanese stock index futures markets that suffered most from the global financial tsunami that occurred during 2008. Design/methodology/approach...

Financial authorities are monitoring the financial industries by their own capital to ensure that financial industries have sufficient equity capital to absorb a variety of financial business risks. The current method applied for regulating the capital adequancies of futures commission merchants...

This paper proposes a four-regime bivariate Markov regime-switching model to estimate the daily time-varying minimum variance hedge ratios for West Texas Intermediate (WTI) crude oil, and evaluates its in- and out-of-sample hedging performances with two-regime model, CC-GARCH, TVC-GARCH, and OLS...