Comparison of MCMC Methods for Estimating GARCH Models

DOI10.14490/JJSS.36.199MaRDI QIDQ3442923zbMATH OpenOpenAlexFDO

Authors Manabu Asai

Publication date 24 May 2007

Published in JOURNAL OF THE JAPAN STATISTICAL SOCIETY (Search for Journal in Brave)

Full work available at URL https://doi.org/10.14490/jjss.36.199

zbMATH Keywords

Bayesian inferenceGARCHGibbs samplerMarkov chain Monte CarloMetropolis-Hastings algorithm

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Numerical analysis or methods applied to Markov chains (65C40)

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• Constrained Hamiltonian Monte Carlo in BEKK GARCH with targeting
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• MCMC Bayesian estimation in FIEGARCH models
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• Computational tools for comparing asymmetric GARCH models via Bayes factors
• Bayesian estimation of \(\mathrm{GARCH}(p,q)\) model
• Likelihood-Based Estimation of Latent Generalized ARCH Structures
• Comparison of MCMC methods for estimating stochastic volatility models
• A comparison of Bayesian model selection based on MCMC with an application to GARCH-type models

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