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 used for Bayesian analysis of the GARCH model. As numerical examples …
