Impact of foreign exchange rate on oil companies risk in stock market: A Markov-switching approach
作者：
Highlights：
• We modeled SROCOIs in Iran’s stock market using MRS-GARCH and ARMA-GARCH family models.
• MRS-GARCH models under student-t and GED distributions have better performance to capture SROCOIs.
• We estimated in-sample and out of sample VaR of SROCOIs from optima models.
• We evaluated impact of the foreign exchange rate fluctuations on the VaR of SROCOIs.
• Foreign exchange rate significantly effect on the VaR of SROCOIs in different regimes.
摘要
•We modeled SROCOIs in Iran’s stock market using MRS-GARCH and ARMA-GARCH family models.•MRS-GARCH models under student-t and GED distributions have better performance to capture SROCOIs.•We estimated in-sample and out of sample VaR of SROCOIs from optima models.•We evaluated impact of the foreign exchange rate fluctuations on the VaR of SROCOIs.•Foreign exchange rate significantly effect on the VaR of SROCOIs in different regimes.
论文关键词：Value at risk,Foreign exchange rate,GARCH,Markov regime-switching,Stock return
论文评审过程：Received 18 August 2016, Available online 25 October 2016, Version of Record 24 December 2016.
论文官网地址：https://doi.org/10.1016/j.cam.2016.10.012
