Estimating Extreme Value at Risk Using Bayesian Markov Regime Switching GARCH-EVT Family Models
Thabani Ndlovu,
Delson Chikobvu
Abstract:In this study, the performance of the Bayesian Markov regime-switching GARCH-EVT in the estimation of extreme value at risk in the BitCoin/dollar (BTC/USD) and the South African Rand/dollar (ZAR/USD) exchange rates is investigated. The goal is to capture regime switches and extreme returns to exchange rates, all to explain and compare the riskiness of BitCoin and the Rand. The Markov chain Monte Carlo method is used to estimate parameters for the GARCH family models. Using the deviance information criterion, t… Show more
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