We present an estimation and forecasting method, based on a differential evolution MCMC method, for inference in GARCH … time series of daily returns. We find structural breaks in the volatility dynamics of all series and recurrent regimes in … nearly all series. Finally, we carry out a forecasting exercise to evaluate the usefulness of structural break models. …

realized covariance matrices through a GARCH-type structure. We compare the forecasting performance of several such models in … (HEAVY-type) models that use realized volatilities yield economic value and significantly surpass the (GARCH) models that use …

bimodality, APS comparesfavourably with the standard Metropolis-Hastings sampler in terms ofparsimony and robustness. APS is … applied within a Bayesian analysisof a GARCH-mixture model which is used for the evaluation of theValue-at-Risk of the return …