Research on RMB Exchange Rate Volatility Risk Based on MSGARCH-VaR Model
This paper captures the RMB exchange rate volatility using the Markov-switching GARCH (MSGARCH) models and traditional single-regime GARCH models. Through the Markov Chain Monte Carlo (MCMC) method, the model parameters are estimated to study the volatility dynamics of the RMB exchange rate. Further...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Hindawi Limited
2020-01-01
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| Series: | Discrete Dynamics in Nature and Society |
| Online Access: | http://dx.doi.org/10.1155/2020/8719574 |