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A Markov-Chain Sampling Algorithm for GARCH Models
Nakatsuma, Teruo - In: Studies in Nonlinear Dynamics & Econometrics 3 (1998) 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 …
Persistent link: https://www.econbiz.de/10005751406
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An Interest-rate Model Analysis Based on Data Augmentation Bayesian Forecasting
Minemura, Eiji - In: Journal of Applied Statistics 33 (2006) 10, pp. 1085-1104
In this paper, the author presents an efficient method of analyzing an interest-rate model using a new approach called 'data augmentation Bayesian forecasting.' First, a dynamic linear model estimation was constructed with a hierarchically-incorporated model. Next, an observational replication...
Persistent link: https://www.econbiz.de/10009225260
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Regime switching GARCH models
BAUWENS, Luc; PREMINGER, Arie; ROMBOUTS, Jeroen - Center for Operations Research and Econometrics (CORE), … - 2006
We develop univariate regime-switching GARCH (RS-GARCH) models wherein the conditional variance switches in time from … one GARCH process to another. The switching is governed by a time-varying probability, specified as a function of past …
Persistent link: https://www.econbiz.de/10005043540
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Theory and inference for a Markov switching GARCH model
BAUWENS, Luc; PREMINGER, Arie; ROMBOUTS, Jeroen V.K. - Center for Operations Research and Econometrics (CORE), … - 2007
We develop a Markov-switching GARCH model (MS-GARCH) wherein the conditional mean and variance switch in time from one … GARCH process to another. The switching is governed by a hidden Markov chain. We provide sufficient conditions for geometric …
Persistent link: https://www.econbiz.de/10005008423
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Bayesian clustering of many GARCH models
BAUWENS, Luc; ROMBOUTS, Jeroen - Center for Operations Research and Econometrics (CORE), … - 2003
We consider the estimation of a large number of GARCH models, of the order of several hundreds. To achieve parsimony …
Persistent link: https://www.econbiz.de/10005008555
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Bayesian inference on GARCH models using the Gibbs sampler
BAUWENS, LUC; LUBRANO, MICHEL - In: Econometrics Journal 1 (1998) ConferenceIssue, pp. 23-23
This paper explains how the Gibbs sampler can be used to perform Bayesian inference on GARCH models. Although the Gibbs … available in regression models with GARCH errors. We show that the Gibbs sampler can be combined with a unidimensional … compared with importance sampling and the Metropolis-Hastings algorithm. It is applied to estimate an asymmetric Student-GARCH …
Persistent link: https://www.econbiz.de/10005243404
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Bayesian Estimation of ARMA-GARCH Model of Weekly Foreign Exchange Rates
Nakatsuma, Teruo; Tsurumi, Hiroki - In: Asia-Pacific Financial Markets 6 (1999) 1, pp. 71-84
estimate the parameters of the ARMA-GARCH model. The ARMA-GARCH model is applied to weekly foreign exchange rate data of five …
Persistent link: https://www.econbiz.de/10005547714
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Bayesian Clustering of Many Garch Models
Bauwens, L.; Rombouts, J. V. K. - In: Econometric Reviews 26 (2007) 2-4, pp. 365-386
We consider the estimation of a large number of GARCH models, of the order of several hundreds. Our interest lies in …
Persistent link: https://www.econbiz.de/10005157462
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Infinite-state Markov-switching for dynamic volatility and correlation models
DUFAYS, Arnaud - Center for Operations Research and Econometrics (CORE), … - 2012
. GARCH and DCC models with changing parameters are specified using the sticky infinite hidden Markov-chain framework …
Persistent link: https://www.econbiz.de/10010927665
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Data cloning estimation of GARCH and COGARCH models
Marín, J. Miguel; Bernal, M. T. Rodríguez; Romero, Eva - Departamento de Estadistica, Universidad Carlos III de … - 2013
GARCH models include most of the stylized facts of financial time series and they have been largely used to analyze … discrete financial time series. In the last years, continuous time models based on discrete GARCH models have been also … use the data cloning methodology in order to obtain estimators of GARCH and COGARCH model parameters. Data cloning …
Persistent link: https://www.econbiz.de/10010681694