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2017 | OriginalPaper | Chapter

Forecasting Asian Credit Default Swap Spreads: A Comparison of Multi-regime Models

Authors : Chatchai Khiewngamdee, Woraphon Yamaka, Songsak Sriboonchitta

Published in: Robustness in Econometrics

Publisher: Springer International Publishing

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Abstract

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.

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Metadata
Title
Forecasting Asian Credit Default Swap Spreads: A Comparison of Multi-regime Models
Authors
Chatchai Khiewngamdee
Woraphon Yamaka
Songsak Sriboonchitta
Copyright Year
2017
Book
Robustness in Econometrics

Print ISBN: 978-3-319-50741-5

Electronic ISBN: 978-3-319-50742-2

Copyright Year: 2017

DOI
https://doi.org/10.1007/978-3-319-50742-2_28

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