Research on RMB Exchange Rate Volatility Risk Based on MSGARCH-VaR Model

Table 2

DIC results of different MSGARCH models.

	RUSD	RJPY	RHKD
Single regime
GARCH-N	−2362.29	3666.25	−2362.95
GARCH-t	−3269.09	3335.50	−3236.02
GARCH-SKT	−3298.95	3336.26	−3255.59
GJR-GARCH-N	−2361.38	3670.49	−2360.96
GJR-GARCH-t	−3287.85	3337.97	−3236.86
GJR-GARCH-SKT	−3285.44	3342.61	−3253.50
Two regimes
GARCH-N	−3245.84	3373.09	−3016.40
GARCH-t	−3378.92	3332.42	−3364.52
GARCH-SKT	−3361.55	3327.7	−3352.81
GJR-GARCH-N	−3283.83	3380.58	−3198.67
GJR-GARCH-t	−3325.49	3335.59	−3325.84
GJR-GARCH-SKT	−3335.64	3351.08	−3352.69

Note. N, S, and SKT represent the Normal distribution, Student-t distribution, and skewed Student-t distribution, respectively.