inference that feature varying level of trade-off between estimation precision and computational speed. Using monthly data for …

We compare small-sample properties of Bayes estimation and maximum likelihood estimation (MLE) of ARMA-GARCH models … method of testing strict stationarity and ergodicity of the conditional variance in the GARCH(1,1) process, near epoch … depencenve (NED), and finiteness of unconditional moments of the GARCH(1,1) process by using a Markov chain Monte Carlo (MCMC …

The paper develops a new realized matrix-exponential GARCH (MEGARCH) model, which uses the information of returns and … function to develop news impact curves. We consider Bayesian MCMC estimation to allow non-normal posterior distributions. For … three US financial assets, we compare the realized MEGARCH models with existing multivariate GARCH class models. The …