Bayesian estimation of a Markov-switching threshold asymmetric GARCH model with Student-t innovations

DOI10.1111/J.1368-423X.2008.00253.XzbMath1190.62155OpenAlexW2169031796MaRDI QIDQ3566441

David Ardia

Publication date: 8 June 2010

Published in: Econometrics Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1368-423x.2008.00253.x

zbMATH Keywords

asymmetryGARCHthresholdBayesianMarkov-switchingSMI

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Bayesian inference (62F15) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40)

Related Items (14)

Asymmetric Volatility Models with Structural Breaks ⋮ Performance of MS-GARCH Models: Bayesian MCMC-Based Estimation ⋮ Markov switch smooth transition HYGARCH model: Stability and estimation ⋮ Long memory and nonlinearities in realized volatility: a Markov switching approach ⋮ Long memory and regime switching in the stochastic volatility modelling ⋮ A multivariate regime-switching GARCH model with an application to global stock market and real estate equity returns ⋮ Markov regime-switching autoregressive model with tempered stable distribution: simulation evidence ⋮ Bayesian analysis of periodic asymmetric power GARCH models ⋮ Estimation and properties of a time-varying GQARCH(1,1)-M model ⋮ Bayesian estimation of an extended local scale stochastic volatility model ⋮ Unnamed Item ⋮ Value-at-risk via mixture distributions reconsidered ⋮ Markov switching asymmetric GARCH model: stability and forecasting ⋮ A nesting framework for Markov-switching GARCH modelling with an application to the German stock market

Uses Software

• tsbridge
• Unnamed Item

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• A flexible prior distribution for Markov switching autoregressions with Student-\(t\) errors
• Financial risk management with Bayesian estimation of GARCH models. Theory and applica\-tions.
• Interpretation and inference in mixture models: simple MCMC works
• Calculating posterior distributions and modal estimates in Markov mixture models
• Autoregressive conditional heteroskedasticity and changes in regime
• Inference from iterative simulation using multiple sequences
• Bayesian analysis of ARMA-GARCH models: a Markov chain sampling approach
• Estimating marginal likelihoods for mixture and Markov switching models using bridge sampling techniques*
• Forecasting Stock Market Volatility with Regime-Switching GARCH Models
• Forecasting Time Series Subject to Multiple Structural Breaks
• An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
• Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
• Bayesian Measures of Model Complexity and Fit
• Bayesian Inference in Econometric Models Using Monte Carlo Integration
• Markov chain Monte Carlo Estimation of Classical and Dynamic Switching and Mixture Models
• Quadratic ARCH Models
• Diagnostics for Time Series Analysis
• Bayesian analysis of switching ARCH models
• Remarks on a Multivariate Transformation
• Business cycle asymmetries in stock returns: evidence from higher order moments and conditional densities
• Deviance information criteria for missing data models

This page was built for publication: Bayesian estimation of a Markov-switching threshold asymmetric GARCH model with Student-t innovations