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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
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
We present an estimation and forecasting method, based on a differential evolution MCMC method, for inference in GARCH …
Persistent link: https://www.econbiz.de/10011116269
Persistent link: https://www.econbiz.de/10010866870
GARCH volatility models with fixed parameters are too restrictive for long time series due to breaks in the volatility … process. Flexible alternatives are Markov-switching GARCH and change-point GARCH models. They require estimation by MCMC …
Persistent link: https://www.econbiz.de/10011052313
. GARCH and DCC models with changing parameters are specified using the sticky infinite hidden Markov-chain framework …
Persistent link: https://www.econbiz.de/10010927665
volatility model like a GARCH (or one of its many incarnations) followed by application of standard extreme value models to the …
Persistent link: https://www.econbiz.de/10010749110
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
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
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