Nakatsuma, Teruo - In: Studies in Nonlinear Dynamics & Econometrics 3 (2007) 2, pp. 107-117
This paper describes a GAUSS program of a Markov-chain sampling algorithm for GARCH models proposed by Nakatsuma (1998). This algorithm allows us to generate Monte Carlo samples of parameters in a GARCH model from their joint posterior distribution. The samples obtained by this algorithm are...