Please use this identifier to cite or link to this item:
Title: Forecasting Asian credit default swap spreads: A comparison of multi-regime models
Authors: Khiewngamdee C.
Yamaka W.
Sriboonchitta S.
Abstract: © Springer International Publishing AG 2017. This paper aims to explore the best forecasting model for predicting the Credit Default Swap (CDS) index spreads in emerging markets Asia by comparing the forecasting performance between the multi-regime models. We apply threshold, Markov switching, Markov switching GARCH and simple least squares for structural and autoregressive modeling. Both in- and out-of-sample forecasts are conducted to compare the forecasting performance between models. The results suggest that Markov switching GARCH(1,1) structural model presents the best performance in predicting Asian Credit Default Swap (CDS) index spreads. We also check the preciseness of our selected model by employing the robustness test.
ISSN: 1860949X
Appears in Collections:CMUL: Journal Articles

Files in This Item:
There are no files associated with this item.

Items in CMUIR are protected by copyright, with all rights reserved, unless otherwise indicated.