Titlebook: Handbook of Research on Emerging Theories, Models, and Applications of Financial Econometrics; Burcu Adıgüzel Mercangöz Book 2021 The Edit

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Performance of MS-GARCH Models: Bayesian MCMC-Based Estimation,e estimating a Markov-Switching generalized autoregressive conditional heteroscedasticity (MS-GARCH) model. The monthly exchange rates of BRICS countries for the period from 1997 to 2017 were used for this empirical analysis. MS(2)-GARCH (1,1) is estimated using both the MLE and Bayesian MCMC. For b

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