Nakatsuma, Teruo; Tsurumi, Hiroki - In: Asia-Pacific Financial Markets 6 (1999) 1, pp. 71-84
Three Bayesian methods (Markov chain Monte Carlo, Laplace approximation and quadrature formula) are developed to estimate the parameters of the ARMA-GARCH model. The ARMA-GARCH model is applied to weekly foreign exchange rate data of five major currencies, and their stochastic volatilities are...