Fonseca, Thaís C. O.; Cerqueira, Vinícius S.; Migon, … - 2013
In this work we consider modeling the past volatilities through a Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model using the Bayesian approach. Asymmetries in the shocks are accommodated by smooth transition models for the variance. We discuss problems related to the...
