Browsing by Author "Xaba, Lawrence Diteboho"
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A comparative study of threshold autoregressive, smooth transition regression and markov switching autoregressive models on stock price behaviour
Xaba, Lawrence Diteboho (2014)This study compared the in-sample forecasting accuracy of three forecasting nonlinear models namely: the Smooth Transition Regression (STR) model, the Threshold Autoregressive (TAR) model and the Markov-switching ... -
The performance of MRS-GARCH models : a ML and Bayesian MCMC-based estimations
Xaba, Lawrence Diteboho (North-West University (South Africa), 2021)This study compared the in-sample and out-of-sample forecasting accuracy of nonlinear MRS-GARCH forecasting model using two estimation methods namely: The Maximum Likelihood and the Bayesian Markov Chain Monte Carlo. In ...