Estimating Extreme Value at Risk Using Bayesian Markov Regime Switching GARCH-EVT Family Models

<p id="p1">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 return...

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Autores principales:	Ndlovu, Thabani, Chikobvu, Delson
Formato:	Capítulo de libro
Lenguaje:	inglés
Publicado:	IntechOpen 2024
Materias:	Physical Sciences, Engineering and Technology
Acceso en línea:	https://www.intechopen.com/chapters/1173161
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