Performance of MS-GARCH Models: Bayesian MCMC-Based Estimation

DOI10.1007/978-3-030-54108-8_14MaRDI QIDQ5049444zbMATH OpenOpenAlexFDO

Authors Lawrence Diteboho Xaba, Ntebogang Dinah Moroke, Lebotsa Daniel Metsileng

Publication date 11 November 2022

Published in Handbook of Research on Emerging Theories, Models, and Applications of Financial Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-030-54108-8_14

zbMATH Keywords

Bayesian Markov chain Monte Carlo (MCMC)Diebold-Mariano testerror metricesmaximum likelihood estimationnonlinear GARCH model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites work

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• Modelling exchange rates using regime switching models
• Multivariate mixed normal conditional heteroskedasticity
• Non parametric portmanteau tests for detecting non linearities in high dimensions
• Principles and practice of structural equation modeling
• Theory and inference for a Markov switching GARCH model

Cited in

(2)

• Monte Carlo posterior integration in GARCH models
• Stochastic variational inference for GARCH models

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