Combined Model of Markov Switching and Asymmetry of Generalized Seasonal Autoregressive Moving Average Conditional Heteroscedasticity for Early Detection of Financial Crisis in Hong Kong

Sugiyanto Sugiyanto, Sri Subanti, Isnandar Slamet, Etik Zukhronah, Irwan Susanto, Winita Sulandari, Nabila Churin Aprilia

Abstract


The financial crisis in Hong Kong occurred in 1997 and 2008. To prevent a crisis or reduce the impact of a crisis, action is needed through early detection of the crisis using export indicator. The combination of Markov Switching and Asymmetric Generalized Seasonal Autoregressive Moving Average Conditional Heteroscedasticity (MS-AGSARMACH) models explains the crisis well. The results show that the MSAGSARMACH(2,1,1) model can explain past and future crises well.

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References


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DOI: http://dx.doi.org/10.12962/j24775401.v10i2.21943

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International Journal of Computing Science and Applied Mathematics by Pusat Publikasi Ilmiah LPPM, Institut Teknologi Sepuluh Nopember is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.
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