MCMC Bayesian estimation in FIEGARCH models

DOI10.1080/03610918.2014.932800MaRDI QIDQ2828706zbMATH OpenOpenAlexFDO

Authors Sílvia R. C. Lopes, Taiane Schaedler Prass, Jorge Alberto Achcar

Publication date 26 October 2016

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1304.1733

zbMATH Keywords

Bayesian inferenceFIEGARCH processeslong-range dependenceMCMC

Mathematics Subject Classification ID

Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Abstract: Bayesian inference for fractionally integrated exponential generalized autoregressive conditional heteroskedastic (FIEGARCH) models using Markov Chain Monte Carlo (MCMC) methods is described. A simulation study is presented to access the performance of the procedure, under the presence of long-memory in the volatility. Samples from FIEGARCH processes are obtained upon considering the generalized error distribution (GED) for the innovation process. Different values for the tail-thickness parameter

u are considered covering both scenarios, innovation processes with lighter ( u<2) and heavier ( u>2) tails than the Gaussian distribution (

u=2). A sensitivity analysis is performed by considering different prior density functions and by integrating (or not) the knowledge on the true parameter values to select the hyperparameter values.

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Cites work

• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
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• Generalized autoregressive conditional heteroscedasticity
• Inference from iterative simulation using multiple sequences
• Modeling and pricing long memory in stock market volatility
• Modelling long-memory volatilities with leverage effect: A-LMSV versus FIEGARCH
• Monte Carlo sampling methods using Markov chains and their applications
• Simulation Run Length Control in the Presence of an Initial Transient
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Cited in

(5)

• Theoretical results on fractionally integrated exponential generalized autoregressive conditional heteroskedastic processes
• Tailored randomized block MCMC methods with application to DSGE models
• A Bayesian approach for estimating the parameters of an α-stable distribution
• Bayesian estimation of \(\mathrm{GARCH}(p,q)\) model
• A Bayesian non-parametric approach to dynamic conditional angular correlation model with application to portfolio optimization

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