Modelling and forecasting oil market volatility: A regime switching GARCH MIDAS approach
(2023)
Thesis
Tirkishova, M. (2023). Modelling and forecasting oil market volatility: A regime switching GARCH MIDAS approach. (Thesis). Keele University
In this thesis, we consider a regime switching GARCH MIDAS model with Student-t innovations. By allowing the error term to be non-Gaussian, we want to see how effective it is in describing the volatility displayed in financial time series. For the lo... Read More about Modelling and forecasting oil market volatility: A regime switching GARCH MIDAS approach.